Risk margin quantile function via parametric and non-parametric Bayesian approaches
From MaRDI portal
Abstract: We develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quantile functions, especially higher quantile levels, we detail how quantile regression is capable of providing an accurate estimation of risk margin and an overview of implied capital based on the historical volatility of a general insurers loss portfolio. Two modelling frameworks are considered based around parametric and nonparametric quantile regression models which we develop specifically in this insurance setting. In the parametric quantile regression framework, several models including the flexible generalized beta distribution family, asymmetric Laplace (AL) distribution and power Pareto distribution are considered under a Bayesian regression framework. The Bayesian posterior quantile regression models in each case are studied via Markov chain Monte Carlo (MCMC) sampling strategies. In the nonparametric quantile regression framework, that we contrast to the parametric Bayesian models, we adopted an AL distribution as a proxy and together with the parametric AL model, we expressed the solution as a scale mixture of uniform distributions to facilitate implementation. The models are extended to adopt dynamic mean, variance and skewness and applied to analyze two real loss reserve data sets to perform inference and discuss interesting features of quantile regression for risk margin calculations.
Recommendations
- Assessment of outstanding reserving based on Bayesian hierarchical quantile regression
- An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking
- 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
- Bayesian approach to measuring parameter and model risk in loss ratio estimation
Cites work
- A Generalization of the Gamma Distribution
- A Three-Parameter Asymmetric Laplace Distribution and Its Extension
- Analytic loss distributional approach models for operational risk from the \(\alpha\)-stable doubly stochastic compound processes and implications for capital allocation
- Application of Coherent Risk Measures to Capital Requirements in Insurance
- Bayes and empirical Bayes methods for data analysis.
- Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
- Bayesian Estimation of Outstanding Claim Reserves
- Bayesian Measures of Model Complexity and Fit
- Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
- Bayesian quantile regression
- Bayesian quantile regression for single-index models
- Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
- Equation of state calculations by fast computing machines
- Goodness of Fit and Related Inference Processes for Quantile Regression
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 472921 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
- scientific article; zbMATH DE number 1738333 (Why is no real title available?)
- scientific article; zbMATH DE number 1795842 (Why is no real title available?)
- scientific article; zbMATH DE number 840151 (Why is no real title available?)
- Impact of insurance for operational risk: is it worthwhile to insure or be insured for severe losses?
- Large deviations of heavy-tailed sums with applications in insurance
- Model Selection and Model Averaging
- Model uncertainty in claims reserving within Tweedie's compound Poisson models
- Monte Carlo sampling methods using Markov chains and their applications
- Nonparametric regression estimation of conditional tails: the random covariate case
- On kernel smoothing for extremal quantile regression
- On Probabilities of Large Deviations for Random Walks. II. Regular Exponentially Decaying Distributions
- Polynomial power-Pareto quantile function models
- Quantile mechanics
- Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
- Some Generalized Functions for the Size Distribution of Income
- Upper and lower bounds for sums of random variables
Cited in
(6)- A quantile regression approach for the analysis of the diversification in non-life premium risk
- Earthquake parametric insurance with Bayesian spatial quantile regression
- Assessment of outstanding reserving based on Bayesian hierarchical quantile regression
- MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
- An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking
- Parametric estimation of non-crossing quantile functions
This page was built for publication: Risk margin quantile function via parametric and non-parametric Bayesian approaches
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4563748)
