An Individual Risk Model for Premium Calculation Based on Quantile: A Comparison between Generalized Linear Models and Quantile Regression
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Publication:5206144
DOI10.1080/10920277.2019.1604238zbMath1429.91275OpenAlexW2972736224MaRDI QIDQ5206144
Davide Biancalana, Fabio Baione
Publication date: 18 December 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2019.1604238
Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)
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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 ⋮ Parametric expectile regression and its application for premium calculation ⋮ An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking
Cites Work
- Using quantile regression for rate-making
- Introduction to Insurance Mathematics
- Non-Life Insurance Pricing with Generalized Linear Models
- Regression Quantiles
- An application of two-stage quantile regression to insurance ratemaking
- Generalized Linear Models for Insurance Data
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