An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking

DOI10.1080/03461238.2020.1820372MaRDI QIDQ4990508zbMATH OpenOpenAlexFDO

Authors Fabio Baione, Davide Biancalana

Publication date 28 May 2021

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

Full work available at URL http://hdl.handle.net/11573/1452287

zbMATH Keywords

quantile regressionquantile regression coefficients modelingrisk marginpremium principlesratemaking

Mathematics Subject Classification ID

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

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Cites work

• A quantile regression approach for the analysis of the diversification in non-life premium risk
• An Individual Risk Model for Premium Calculation Based on Quantile: A Comparison between Generalized Linear Models and Quantile Regression
• An application of two-stage quantile regression to insurance ratemaking
• Bayesian quantile regression model for claim count data
• Censored Regression Quantiles
• Generalized Linear Models for Insurance Data
• Parametric modeling of quantile regression coefficient functions
• Parametric modeling of quantile regression coefficient functions with censored and truncated data
• Quantile regression.
• Regression Quantiles
• Regression modeling with actuarial and financial applications.
• Risk margin quantile function via parametric and non-parametric Bayesian approaches
• Solvency supervision based on a total balance sheet approach
• Using quantile regression for rate-making

Cited in

(9)

• Parametric expectile regression and its application for premium calculation
• Risk margin quantile function via parametric and non-parametric Bayesian approaches
• A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference
• Quantile regression for robust bank efficiency score estimation
• Transfer Learning with Large-Scale Quantile Regression
• Construction of rating systems using global sensitivity analysis: a numerical investigation
• Using quantile regression for rate-making
• An application of two-stage quantile regression to insurance ratemaking
• A credit default swap application by using quantile regression technique

Describes a project that uses

Uses Software

• qrcm
• quantreg

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