A Quantile Regression approach for the analysis of the diversification in non-life premium risk
This paper concerns the study of the diversification effect involved in a portfolio of non-life policies priced via traditional
premium principles when individual pure premiums are calculated via Quantile Regression. Our aim is to use Quantile
Regression to estimate the individual conditional loss distribution given a vector of rating factors. To this aim, we make
a comparison of the outcomes obtained via Quantile Regression with the widely used industry standard method based on