Joint generalized quantile and conditional tail expectation regression for insurance risk analysis

DOI10.1016/J.INSMATHECO.2021.03.006MaRDI QIDQ2038215zbMATH OpenOpenAlexFDO

Authors Montserrat Guillen, Lluís Bermúdez, Albert Pitarque

Publication date 6 July 2021

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.insmatheco.2021.03.006

zbMATH Keywords

motor insurancepredictive modelsquantile regressiontelematicsvalue at risk

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

• A joint quantile and expected shortfall regression framework
• Elicitable distortion risk measures: a concise proof
• Estimation methods for expected shortfall
• Goodness of Fit and Related Inference Processes for Quantile Regression
• Higher order elicitability and Osband's principle
• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• scientific article; zbMATH DE number 2050711 (Why is no real title available?)
• Making and evaluating point forecasts
• On the measurement of economic tail risk
• Quantile regression for cross-sectional and time series data. Applications in energy markets using R
• Regression Quantiles
• Robust Tests for Heteroscedasticity Based on Regression Quantiles

Cited in

(8)

• Three-step risk inference in insurance ratemaking
• Deep quantile and deep composite triplet regression
• An Individual Risk Model for Premium Calculation Based on Quantile: A Comparison between Generalized Linear Models and Quantile Regression
• Robust Actuarial Risk Analysis
• Conditionally Elicitable Dynamic Risk Measures for Deep Reinforcement Learning
• Bivariate distribution regression with application to insurance data
• Estimation and Inference for Nonparametric Expected Shortfall Regression over RKHS
• Regressions under Adverse Conditions

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