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

DOI10.1016/j.insmatheco.2021.03.006zbMath1467.91139OpenAlexW3148740534MaRDI QIDQ2038215

Montserrat Guillen, Albert Pitarque, Lluís Bermúdez

Publication date: 6 July 2021

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

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

zbMATH Keywords

quantile regressionvalue at riskpredictive modelstelematicsmotor insurance

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

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• Elicitable distortion risk measures: a concise proof
• Estimation methods for expected shortfall
• On the Measurement of Economic Tail Risk
• Robust Tests for Heteroscedasticity Based on Regression Quantiles
• Regression Quantiles
• Goodness of Fit and Related Inference Processes for Quantile Regression

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