Risk measures in a quantile regression credibility framework with Fama/French data applications

DOI10.1016/J.INSMATHECO.2017.02.008MaRDI QIDQ2397859zbMATH OpenOpenAlexFDO

Authors Georgios Pitselis

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

zbMATH Keywords

quantile regressionconditional tail expectationquantile credibilityquantile tail expectationregression value at risk

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Credible risk measures with applications in actuarial sciences and finance
• Quantile credibility models
• Simple risk forecasts using credibility
• Multi-stage nested classification credibility quantile regression model
• Credibility estimation based on risk measure of value at risk

Cites work

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Cited in

(8)

• Quantile credibility models
• Simple risk forecasts using credibility
• Evolutionary credibility risk premium
• Multi-stage nested classification credibility quantile regression model
• Satisficing credibility for heterogeneous risks
• Quantiles in a multi-stage nested classification credibility model
• Using quantile regression for rate-making
• Credible risk measures with applications in actuarial sciences and finance

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Uses Software

• CAViaR

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