Journal article

Regression Quantile Analysis of Claim Termination Rates for Income Protection Insurance

DGW Pitt

Annals of Actuarial Science | Cambridge University Press (CUP) | Published : 2006


ABSTRACTThis 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.

University of Melbourne Researchers