An application of two-stage quantile regression to insurance ratemaking

DOI10.1080/03461238.2018.1452786zbMath1418.91242OpenAlexW2794717945WikidataQ130054724 ScholiaQ130054724MaRDI QIDQ4562046

Ignacio Moreno, Antonio Heras, José L. Vilar-Zanón

Publication date: 14 December 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2018.1452786

zbMATH Keywords

quantile regressioninsurance rate makingaggregate claims modelinsurance underwritingpremium risk loading

Mathematics Subject Classification ID

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

Related Items (14)

Unraveling heterogeneity in cyber risks using quantile regressions ⋮ A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference ⋮ A quantile regression approach for the analysis of the diversification in non-life premium risk ⋮ Three-step risk inference in insurance ratemaking ⋮ STATISTICAL INFERENCE IN QUANTILE REGRESSION FOR ZERO-INFLATED OUTCOMES ⋮ Addressing the economic and demographic complexity via a neural network approach: risk measures for reverse mortgages ⋮ Diagnostic tests before modeling longitudinal actuarial data ⋮ Parametric expectile regression and its application for premium calculation ⋮ THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING ⋮ An Individual Risk Model for Premium Calculation Based on Quantile: A Comparison between Generalized Linear Models and Quantile Regression ⋮ Two-step risk analysis in insurance ratemaking ⋮ Risk analysis with categorical explanatory variables ⋮ Discrete generalized half-normal distribution and its applications in quantile regression ⋮ An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking

Uses Software

• quantreg

Cites Work

• Unnamed Item
• Using quantile regression for rate-making
• Solvency supervision based on a total balance sheet approach
• Quantile credibility models
• Non-Life Insurance Pricing with Generalized Linear Models
• Regression Quantiles
• Regression Modeling with Actuarial and Financial Applications
• Generalized Linear Models for Insurance Data

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