Regression Quantile Analysis of Claim Termination Rates for Income Protection Insurance

D. G. W. Pitt

Annals of Actuarial Science, 2006, vol. 1, issue 2, 345-357

Abstract: This paper investigates the use of censored regression quantiles in the analysis of claim termination rates for income protection (IP) insurance. The paper demonstrates the importance of modeling quantiles given the growing interest of regulators and others in stochastic approaches to valuation of insurance liabilities and risk margins.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:1:y:2006:i:02:p:345-357_00

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