Risk measures in a quantile regression credibility framework with Fama/French data applications
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Publication:2397859
DOI10.1016/j.insmatheco.2017.02.008zbMath1394.91228MaRDI 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 regression; conditional tail expectation; quantile credibility; quantile tail expectation; regression value at risk
62J05: Linear regression; mixed models
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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Using quantile regression for rate-making, Multi-stage nested classification credibility quantile regression model, Evolutionary credibility risk premium, Satisficing credibility for heterogeneous risks, Quantiles in a multi-stage nested classification credibility model
Uses Software
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