Using quantile regression for rate-making

Результат исследований: Научные публикации в периодических изданияхстатья

14 Цитирования (Scopus)

Выдержка

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.

Язык оригиналаанглийский
Страницы (с-по)296-304
Число страниц9
ЖурналInsurance: Mathematics and Economics
Том45
Номер выпуска2
DOI
СостояниеОпубликовано - окт 2009

Отпечаток

Quantile Regression
Regression
Quantile
Insurance
Regression Model
Estimator
Methodology
Alternatives
Quantile regression
Model
Regression method
Disadvantage
Framework

Предметные области Scopus

  • Теория вероятности и статистика
  • Экономика и эконометрия
  • Статистика, теория вероятности и теория неопределенности

Цитировать

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

В: Insurance: Mathematics and Economics, Том 45, № 2, 10.2009, стр. 296-304.

Результат исследований: Научные публикации в периодических изданияхстатья

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