Risk measures in a quantile regression credibility framework with Fama/French data applications
DOI10.1016/J.INSMATHECO.2017.02.008zbMATH Open1394.91228OpenAlexW2593761281MaRDI QIDQ2397859FDOQ2397859
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
Recommendations
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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Cited In (8)
- Quantiles in a multi-stage nested classification credibility model
- Quantile credibility models
- Simple risk forecasts using credibility
- Credible risk measures with applications in actuarial sciences and finance
- Evolutionary credibility risk premium
- Multi-stage nested classification credibility quantile regression model
- Satisficing credibility for heterogeneous risks
- Using quantile regression for rate-making
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