Hostname: page-component-586b7cd67f-tf8b9 Total loading time: 0 Render date: 2024-11-26T14:15:27.881Z Has data issue: false hasContentIssue false
  • English
  • Français

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]
Get access Rights & Permissions [Opens in a new window]

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

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Australian Prudential Regulation Authority GPS 210 (2005). Liability valuation for general insurers. General Insurance Prudential Standard.Google Scholar
Australian Prudential Regulation Authority (2001). General Insurance Reform Act.Google Scholar
Booth, P., Chadburn, R., Cooper, D., Haberman, S. & James, D. (2000). Modern actuarial theory and practice. Chapman and Hall, CRC, London.Google Scholar
Galton, F. (1889). Natural inheritance. Macmillan, London.Google Scholar
Insurance and Superannation Commission (1973). Insurance Act.Google Scholar
Koenker, R. & Bassett, G. (1978). Regression quantiles. Econometrica, 46, 33–50.CrossRefGoogle Scholar
Pitt, D.G.W. (2006a). Modeling the claim duration of income protection insurance policyholders using parametric mixture models. University of Melbourne Centre for Actuarial Studies, Working paper series No. 132.Google Scholar
Pitt, D.G.W. (2006b). Regression quantile analysis of claim termination rates for income protection insurance. University of Melbourne Centre for Actuarial Studies, Working paper series No. 135.Google Scholar
Portnoy, S. (2003). Censored regression quantiles. Journal of the American Statistical Association, 1001–1012.Google Scholar
R Development Core Team (2005). R: a language and environment for statistical computing. R Foundation for Statistical Computing, Vienna, Austria. ISBN 3–900051–07–0, URL http://www.R-project.orgGoogle Scholar