کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076202 1477201 2017 39 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Risk measures in a quantile regression credibility framework with Fama/French data applications
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Risk measures in a quantile regression credibility framework with Fama/French data applications
چکیده انگلیسی
In this paper we extend the idea of embedding the classical credibility model into risk measures, as was presented by Pitselis (2016), to the idea of embedding regression credibility into risk measures. The resulting credible regression risk measures capture the risk of individual insurer's contract (in finance, the individual asset return portfolio) as well as the portfolio risk consisting of several similar but not identical contracts (in finance, several similar portfolios of asset returns), which are grouped together to share the risk. In insurance, credibility plays a special role of spreading the risk. In financial terminology, credibility plays a special role of diversification of risk. For each model, regression credibility models are established and the robustness of these models is investigated. Applications to Fama/French financial portfolio data are also presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 74, May 2017, Pages 122-134
نویسندگان
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