Bayesian quantile regression model for claim count data

DOI10.1016/J.INSMATHECO.2015.11.004MaRDI QIDQ903343zbMATH OpenOpenAlexFDO

Authors Mohd Fadzli Mohd Fuzi, Abdul Aziz Jemain, N. Ismail

Publication date 5 January 2016

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.11.004

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A Three-Parameter Asymmetric Laplace Distribution and Its Extension
• A priori ratemaking using bivariate Poisson regression models
• Actuarial Modelling of Claim Counts
• Applying robust regression to insurance
• Bayesian multivariate Poisson models for insurance ratemaking
• Bayesian quantile regression
• Functional Form for the Zero-Inflated Generalized Poisson Regression Model
• Functional form for the generalized Poisson regression model
• Generalized Linear Models for Insurance Data
• Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
• Quantile regression for binary performance indicators
• Quantile regression.
• Quantiles for Counts
• Regression Quantiles
• Regression-quantile graduation of Australian life tables, 1946-1992
• Score test for testing zero-inflated Poisson regression against zero-inflated generalized Poisson alternatives
• Using quantile regression for rate-making

Cited in

(3)

• Retirement consumption puzzle in Malaysia: evidence from Bayesian quantile regression model
• An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking
• Earthquake parametric insurance with Bayesian spatial quantile regression

Describes a project that uses

Uses Software

• CAViaR
• quantreg
• R

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