Risk measures in a quantile regression credibility framework with Fama/French data applications
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Publication:2397859
DOI10.1016/j.insmatheco.2017.02.008zbMath1394.91228OpenAlexW2593761281MaRDI QIDQ2397859
Publication date: 24 May 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.008
quantile regressionconditional tail expectationquantile credibilityquantile tail expectationregression value at risk
Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Uses Software
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