Quantile credibility models
In this paper, we develop links between credibility theory and quantiles. More specifically, we show how quantiles can be embedded within the classical Bühlmann’s (1967) credibility model and within Hachemeister’s (1975) regression credibility model. The context of influence function is also incorporated into the above two models. For each model, credibility estimators are established and applications to real data are presented.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- repec:cup:cbooks:9780521845731 is not listed on IDEAS
- Kudryavtsev, Andrey A., 2009. "Using quantile regression for rate-making," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 296-304, October.
- Denuit, Michel, 2008. "Comonotonic approximations to quantiles of life annuity conditional expected present value," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 831-838, April.
- Maritz, J. S., 1989. "Linear empirical Bayes estimation of quantiles," Statistics & Probability Letters, Elsevier, vol. 8(1), pages 59-65, May.
- Gebizlioglu, Omer L. & Yagci, Banu, 2008. "Tolerance intervals for quantiles of bivariate risks and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1022-1027, June.
- Payandeh Najafabadi, Amir T., 2010.
"A new approach to the credibility formula,"
Insurance: Mathematics and Economics,
Elsevier, vol. 46(2), pages 334-338, April.
- Portnoy, Esther, 1997. "Regression-quantile graduation of Australian life tables, 1946-1992," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 163-172, November.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- repec:cup:cbooks:9780521608275 is not listed on IDEAS
- Moshe Buchinsky, 1998. "Recent Advances in Quantile Regression Models: A Practical Guideline for Empirical Research," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 88-126.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:52:y:2013:i:3:p:477-489. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.