Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/257969 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 1 [Article No.:] 14 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-26
Publisher: 
MDPI, Basel
Abstract: 
In this paper, we consider a loss reserving model for a general insurance portfolio consisting of a number of correlated run-off triangles that can be embedded within the quantile regression model for longitudinal data. The model proposes a combination of the between- and within-subportfolios (run-off triangles) estimating functions for regression parameter estimation, which take into account the correlation and variation of the run-off triangles. The proposed method is robust to the error correlation structure, improves the efficiency of parameter estimators, and is useful for the estimation of the reserve risk margin and value at risk (VaR) in actuarial and finance applications.
Subjects: 
quantile regression
loss reserving
robust estimators
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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