New Insurance Economics Findings Reported from Catholic University of Leuven (Risk measures in a quantile regression credibility framework with…

New Insurance Economics Findings Reported from Catholic University of Leuven (Risk measures in a quantile regression credibility framework with Fama/French data applications)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators publish new report on Economics - Insurance Economics. According to news originating from Leuven, Belgium, by VerticalNews editors, the research stated, "In this paper we extend the idea of embedding the classical credibility model into risk measures, as was presented by Pitselis (2016), to the idea of embedding regression credibility into risk measures. The resulting credible regression risk measures capture the risk of individual insurer's contract (in finance, the individual asset return portfolio) as well as the portfolio risk consisting of several similar but not identical contracts (in finance, several similar portfolios of asset returns), which are grouped together to share the risk."

Financial supporters for this research include Senior Fellowships of KU Leuven, University of Piraeus Research Center.

Our news journalists obtained a quote from the research from the Catholic University of Leuven, "In insurance, credibility plays a special role of spreading the risk. In financial terminology, credibility plays a special role of diversification of risk. For each model, regression credibility models are established and the robustness of these models is investigated."

According to the news editors, the research concluded: "Applications to Fama/French financial portfolio data are also presented."

For more information on this research see: Risk measures in a quantile regression credibility framework with Fama/French data applications. Insurance Mathematics & Economics, 2017;74():122-134. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news correspondents report that additional information may be obtained from G. Pitselis, Catholic University of Leuven, Actuarial Res Grp, B-3000 Leuven, Belgium.

Keywords for this news article include: Leuven, Belgium, Europe, Insurance Economics, Economics, Catholic University of Leuven.

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