Assessment of outstanding reserving based on Bayesian hierarchical quantile regression

DOI10.13383/J.CNKI.JSE.2019.05.009zbMATH Open1449.62242MaRDI QIDQ3306963FDOQ3306963

Authors: Liang Yang, Shengwang Meng 

Publication date: 12 August 2020

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zbMATH Keywords

quantile regressionasymmetric Laplace distributionnon-life insuranceoutstanding reserves

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• Risk margin quantile function via parametric and non-parametric Bayesian approaches
• Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
• Estimation of loss reserves based on a hierarchical Bayesian model

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