Quantile credibility models

In this paper, we develop links between credibility theory and quantiles. More specifically, we show how quantiles can be embedded within the classical Bühlmann’s (1967) credibility model and within Hachemeister’s (1975) regression credibility model. The context of influence function is also incorporated into the above two models. For each model, credibility estimators are established and applications to real data are presented.

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Year of publication:	2013
Authors:	Pitselis, Georgios
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 52.2013, 3, p. 477-489
Publisher:	Elsevier
Subject:	Quantile credibility \| Quantile regression credibility \| Influence function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046591