Three-step risk inference in insurance ratemaking

DOI10.1016/j.insmatheco.2022.03.005zbMath1493.62584OpenAlexW4220754837MaRDI QIDQ2155833

Liang Peng, Yanxi Hou, Chia Chun Lo, Seul Ki Kang

Publication date: 15 July 2022

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2022.03.005

zbMATH Keywords

quantile regressionlogistic regressiongeneralized Pareto distributionrandom weighted bootstrapinsurance loss

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalized linear models (logistic models) (62J12) Nonparametric statistical resampling methods (62G09) Actuarial mathematics (91G05)

Related Items (1)

Parametric expectile regression and its application for premium calculation

Uses Software

• insuranceData

Cites Work

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• Bootstrapping the Portmanteau Tests in Weak Auto-Regressive Moving Average Models
• Generalized Linear Models for Insurance Data
• Estimating value-at-risk: a point process approach

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