Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076732 | Insurance: Mathematics and Economics | 2013 | 13 Pages |
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
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Georgios Pitselis,