Using quantile regression for rate-making

DOI10.1016/j.insmatheco.2009.07.010zbMath1231.91204MaRDI QIDQ659142

Andrey A. Kudryavtsev

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.07.010

zbMATH Keywords

quantile regression; regression models; confidence band; generalized linear models; quantile approach to the net premium rate-making; rate-making

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

91G10: Portfolio theory

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Uses Software

• CAViaR

Cites Work

• Applying robust regression to insurance
• Regression-quantile graduation of Australian life tables, 1946-1992
• Direct use of regression quantiles to construct confidence sets in linear models
• Risk measures in a quantile regression credibility framework with Fama/French data applications
• Linear Curve Fitting Using Least Deviations
• Linear Programming Techniques for Regression Analysis
• Regression Quantiles
• Generalized Linear Models for Insurance Data
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