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Regression Quantile Analysis of Claim Termination Rates for Income Protection Insurance

Published online by Cambridge University Press:  10 May 2011

D. G. W. Pitt
D. G. W. Pitt
Affiliation:
Centre for Actuarial Studies, Department of Economics, The University of Melbourne, Parkville 3502, Victoria, Australia., Email: [email protected]
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Abstract

This 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.

Keywords

Income Protection InsuranceClaim Termination RatesRegression Quantiles
Type
Papers
Information
Annals of Actuarial Science , Volume 1 , Issue 2 , September 2006 , pp. 345 - 357
Copyright
Copyright © Institute and Faculty of Actuaries 2006

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References

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