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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
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.:
- Koenker,Roger, 2005.
Cambridge University Press, number 9780521608275, November.
- Portnoy, Esther, 1997. "Regression-quantile graduation of Australian life tables, 1946-1992," Insurance: Mathematics and Economics, Elsevier, vol. 21(2), pages 163-172, November.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- De Vylder, Fl., 1978. "Parameter Estimation in Credibility Theory," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 10(01), pages 99-112, 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.
- Powell, James L., 1986. "Censored regression quantiles," Journal of Econometrics, Elsevier, vol. 32(1), pages 143-155, June.
- Kudryavtsev, Andrey A., 2009. "Using quantile regression for rate-making," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 296-304, October.
- Jewell, William S., 1974. "Credible Means are exact Bayesian for Exponential Families," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 8(01), pages 77-90, September.
- Payandeh Najafabadi, Amir T., 2010.
"A new approach to the credibility formula,"
21587, University Library of Munich, Germany, revised 0020.
- 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.
- Pitt, D. G. W., 2006. "Regression Quantile Analysis of Claim Termination Rates for Income Protection Insurance," Annals of Actuarial Science, Cambridge University Press, vol. 1(02), pages 345-357, September.
- Maritz, J. S., 1989. "Linear empirical Bayes estimation of quantiles," Statistics & Probability Letters, Elsevier, vol. 8(1), pages 59-65, May.
- 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.
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: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.