2 papers
q-fin.RM2014
Risk Margin Quantile Function Via Parametric and Non-Parametric Bayesian Quantile Regression
Alice X. D. Dong, Jennifer S. K. Chan, Gareth W. Peters
We develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quanti…
q-fin.RM2012
A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving
Gareth W. Peters, Alice X. D. Dong, Robert Kohn
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In parti…