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20142020
most citedChanges to the extreme and erratic behaviour of cryptocurrencies during COVID-19

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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…