Quantile credibility models

Georgios Pitselis

Insurance: Mathematics and Economics, 2013, vol. 52, issue 3, 477-489

Abstract: 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.

Keywords: Quantile credibility; Quantile regression credibility; Influence function (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:52:y:2013:i:3:p:477-489

DOI: 10.1016/j.insmatheco.2013.02.011

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