Estimating Insurance Premiums using Credibility Theory and Quantiles

Li Yang

Abstract


This thesis is based on the paper \textit{`Quantile credibility models'} by Georgios Pitselis, which was published in 2013. It introduces credibility theory and shows how quantiles can be incorporated in the B\"uhlmann-Straub model and the Hachemeister's regression model. For each model, a numeric example is presented.

Keywords


Quantile credibility;Quantile regression credibility

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References


Buhlmann, H., Gisler, A. (2005). A course in Credibility Theory and its Applications. Heidelberg: Springer.

Kaas, R. and et al (2001). Modern Actuarial Risk Theory. Dordrecht: Kluwer Academic publishers.

Koenker, R. and Bassett, G. (1978). Regression Quantiles. Econometrica, 46, 33-50.

Greene, W.H. (2012). Econometric Analysis. 7th ed. Harlow: Pearson Education Limited.

Pitselis, G. (2013). Quantile credibility models. Insurance: Mathematics and Economics,

, 477-489.




DOI: http://dx.doi.org/10.26481/marble.2018.v2.618

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