A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference

DOI10.1016/j.insmatheco.2022.03.003zbMath1490.91174OpenAlexW4220871564MaRDI QIDQ2138633

Yanxi Hou

Publication date: 12 May 2022

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.03.003

zbMATH Keywords

extreme value theorycomposite quantile regressionvalue at riskinsurance claimtwo-stage inference

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items (1)

Parametric expectile regression and its application for premium calculation

Uses Software

• qrcm

Cites Work

• Unnamed Item
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• Hierarchical Insurance Claims Modeling
• Generalized Linear Models for Insurance Data
• Statistics of Heteroscedastic Extremes

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