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Bayesian quantile regression model for claim count data

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  • Fuzi, Mohd Fadzli Mohd
  • Jemain, Abdul Aziz
  • Ismail, Noriszura

Abstract

Quantile regression model estimates the relationship between the quantile of a response distribution and the regression parameters, and has been developed for linear models with continuous responses. In this paper, we apply Bayesian quantile regression model for the Malaysian motor insurance claim count data to study the effects of change in the estimates of regression parameters (or the rating factors) on the magnitude of the response variable (or the claim count). We also compare the results of quantile regression models from the Bayesian and frequentist approaches and the results of mean regression models from the Poisson and negative binomial. Comparison from Poisson and Bayesian quantile regression models shows that the effects of vehicle year decrease as the quantile increases, suggesting that the rating factor has lower risk for higher claim counts. On the other hand, the effects of vehicle type increase as the quantile increases, indicating that the rating factor has higher risk for higher claim counts.

Suggested Citation

  • Fuzi, Mohd Fadzli Mohd & Jemain, Abdul Aziz & Ismail, Noriszura, 2016. "Bayesian quantile regression model for claim count data," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 124-137.
  • Handle: RePEc:eee:insuma:v:66:y:2016:i:c:p:124-137
    DOI: 10.1016/j.insmatheco.2015.11.004
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    References listed on IDEAS

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