INSURANCE VALUATION: A TWO-STEP GENERALISED REGRESSION APPROACH

DOI10.1017/asb.2021.31zbMath1484.91371arXiv2012.04364OpenAlexW3112406974MaRDI QIDQ5067889

Andreas Tsanakas, Valeria Bignozzi, Karim Barigou

Publication date: 4 April 2022

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.04364

zbMATH Keywords

quantile regressionSolvency IImarket-consistent valuationdynamic risk measurementcost-of-capital

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 (1)

Parametric expectile regression and its application for premium calculation

Cites Work

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