Using quantile regression for rate-making

DOI10.1016/J.INSMATHECO.2009.07.010MaRDI QIDQ659142zbMATH OpenOpenAlexFDO

Authors Andrey A. Kudryavtsev

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2009.07.010

zbMATH Keywords

confidence bandgeneralized linear modelsquantile approach to the net premium rate-makingquantile regressionrate-makingregression models

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Portfolio theory (91G10)

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Cites work

• Applying robust regression to insurance
• Direct use of regression quantiles to construct confidence sets in linear models
• Generalized Linear Models for Insurance Data
• scientific article; zbMATH DE number 3167454 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• Linear Curve Fitting Using Least Deviations
• Linear Programming Techniques for Regression Analysis
• Quantile regression.
• Regression Quantiles
• Regression-quantile graduation of Australian life tables, 1946-1992
• Risk measures in a quantile regression credibility framework with Fama/French data applications

Cited in

(27)

• Quantile regression for robust bank efficiency score estimation
• Bayesian nonparametric regression models for modeling and predicting healthcare claims
• 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
• Quantiles in a multi-stage nested classification credibility model
• Dynamic quantile linear models: a Bayesian approach
• Risk analysis with categorical explanatory variables
• Risk measures in a quantile regression credibility framework with Fama/French data applications
• Quantile credibility models
• Robust minium bias iteration algorithms for classification ratemaking and loss reserving
• An application of two-stage quantile regression to insurance ratemaking
• Fat-tailed regression modeling with spliced distributions
• Two-step risk analysis in insurance ratemaking
• Quantile regression for rating teams
• An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking
• A credit default swap application by using quantile regression technique
• An Individual Risk Model for Premium Calculation Based on Quantile: A Comparison between Generalized Linear Models and Quantile Regression
• A POSTERIORI RATEMAKING WITH PANEL DATA
• Diagnostic tests before modeling longitudinal actuarial data
• Parametric expectile regression and its application for premium calculation
• Construction of rating systems using global sensitivity analysis: a numerical investigation
• Testing Constant Serial Dynamics in Two-Step Risk Inference for Longitudinal Actuarial Data
• Insurance Ratemaking Using a Combined Quantile Regression Machine Learning Approach
• Solvency supervision based on a total balance sheet approach
• Multi-stage nested classification credibility quantile regression model
• Bayesian quantile regression model for claim count data

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Uses Software

• CAViaR

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