An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking

DOI10.1080/03461238.2020.1820372zbMath1467.91129OpenAlexW3088351992MaRDI QIDQ4990508

Fabio Baione, Davide Biancalana

Publication date: 28 May 2021

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11573/1452287

zbMATH Keywords

quantile regressionrisk marginpremium principlesratemakingquantile regression coefficients modeling

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (2)

A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference ⋮ Parametric expectile regression and its application for premium calculation

Uses Software

• quantreg
• qrcm

Cites Work

• Unnamed Item
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• An application of two-stage quantile regression to insurance ratemaking
• RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES
• Regression Modeling with Actuarial and Financial Applications
• An Individual Risk Model for Premium Calculation Based on Quantile: A Comparison between Generalized Linear Models and Quantile Regression
• Generalized Linear Models for Insurance Data

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