An Individual Risk Model for Premium Calculation Based on Quantile: A Comparison between Generalized Linear Models and Quantile Regression

DOI10.1080/10920277.2019.1604238zbMath1429.91275OpenAlexW2972736224MaRDI QIDQ5206144

Davide Biancalana, Fabio Baione

Publication date: 18 December 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2019.1604238

zbMATH Keywords

quantile regressionrisk modelpremium calculation

Mathematics Subject Classification ID

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

Related Items (5)

Unraveling heterogeneity in cyber risks using quantile regressions ⋮ A two-stage model for high-risk prediction in insurance ratemaking: asymptotics and inference ⋮ A quantile regression approach for the analysis of the diversification in non-life premium risk ⋮ Parametric expectile regression and its application for premium calculation ⋮ An application of parametric quantile regression to extend the two-stage quantile regression for ratemaking

Cites Work

• Using quantile regression for rate-making
• Introduction to Insurance Mathematics
• Non-Life Insurance Pricing with Generalized Linear Models
• Regression Quantiles
• An application of two-stage quantile regression to insurance ratemaking
• Generalized Linear Models for Insurance Data
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