Quantile credibility models (Quantile decomposition )

DOI: 10.5176/2251-1911_CMCGS16.34

Authors: Saadoun Ahmed, Remita Mohamed Riad and Zeghdoudi Halim and Badji Mokhtar

Abstract: This paper focus on credibility theory and quantile. More precisely, we show how the quantile decomposition simplifies the Pitselis model (2013), which incorporated the quantile in the classical model of Bühlmann (1969). A new premium credibility and an application with real data are given.

Keywords: Quantile, credibility, decomposition of p-quantile