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Using quantile regression for rate-making. / Kudryavtsev, Andrey A.

In: Insurance: Mathematics and Economics, Vol. 45, No. 2, 10.2009, p. 296-304.

Research output: Contribution to journal › Article › peer-review

Harvard

Kudryavtsev, AA 2009, 'Using quantile regression for rate-making', Insurance: Mathematics and Economics, vol. 45, no. 2, pp. 296-304. https://doi.org/10.1016/j.insmatheco.2009.07.010

APA

Kudryavtsev, A. A. (2009). Using quantile regression for rate-making. Insurance: Mathematics and Economics, 45(2), 296-304. https://doi.org/10.1016/j.insmatheco.2009.07.010

Vancouver

Kudryavtsev AA. Using quantile regression for rate-making. Insurance: Mathematics and Economics. 2009 Oct;45(2):296-304. https://doi.org/10.1016/j.insmatheco.2009.07.010

Author

Kudryavtsev, Andrey A. / Using quantile regression for rate-making. In: Insurance: Mathematics and Economics. 2009 ; Vol. 45, No. 2. pp. 296-304.

BibTeX

@article{6cd8be95619e4eea96b163b0e9789d3e,
title = "Using quantile regression for rate-making",
abstract = "Regression models are popular tools for rate-making in the framework of heterogeneous insurance portfolios; however, the traditional regression methods have some disadvantages particularly their sensitivity to the assumptions which significantly restrict the area of their applications. This paper is devoted to an alternative approach-quantile regression. It is free of some disadvantages of the traditional models. The quality of estimators for the approach described is approximately the same as or sometimes better than that for the traditional regression methods. Moreover, the quantile regression is consistent with the idea of using the distribution quantile for rate-making. This paper provides detailed comparisons between the approaches and it gives the practical example of using the new methodology.",
keywords = "Confidence band, Generalized linear models, Quantile approach to the net premium rate-making, Quantile regression, Rate-making, Regression models",
author = "Kudryavtsev, {Andrey A.}",
year = "2009",
month = oct,
doi = "10.1016/j.insmatheco.2009.07.010",
language = "English",
volume = "45",
pages = "296--304",
journal = "Insurance: Mathematics and Economics",
issn = "0167-6687",
publisher = "Elsevier",
number = "2",

}

RIS

TY - JOUR

T1 - Using quantile regression for rate-making

AU - Kudryavtsev, Andrey A.

PY - 2009/10

Y1 - 2009/10

N2 - Regression models are popular tools for rate-making in the framework of heterogeneous insurance portfolios; however, the traditional regression methods have some disadvantages particularly their sensitivity to the assumptions which significantly restrict the area of their applications. This paper is devoted to an alternative approach-quantile regression. It is free of some disadvantages of the traditional models. The quality of estimators for the approach described is approximately the same as or sometimes better than that for the traditional regression methods. Moreover, the quantile regression is consistent with the idea of using the distribution quantile for rate-making. This paper provides detailed comparisons between the approaches and it gives the practical example of using the new methodology.

AB - Regression models are popular tools for rate-making in the framework of heterogeneous insurance portfolios; however, the traditional regression methods have some disadvantages particularly their sensitivity to the assumptions which significantly restrict the area of their applications. This paper is devoted to an alternative approach-quantile regression. It is free of some disadvantages of the traditional models. The quality of estimators for the approach described is approximately the same as or sometimes better than that for the traditional regression methods. Moreover, the quantile regression is consistent with the idea of using the distribution quantile for rate-making. This paper provides detailed comparisons between the approaches and it gives the practical example of using the new methodology.

KW - Confidence band

KW - Generalized linear models

KW - Quantile approach to the net premium rate-making

KW - Quantile regression

KW - Rate-making

KW - Regression models

UR - http://www.scopus.com/inward/record.url?scp=70349336684&partnerID=8YFLogxK

U2 - 10.1016/j.insmatheco.2009.07.010

DO - 10.1016/j.insmatheco.2009.07.010

M3 - Article

AN - SCOPUS:70349336684

VL - 45

SP - 296

EP - 304

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

IS - 2

ER -

ID: 37162460