Scale-mixture Birnbaum-Saunders quantile regression models applied to personal accident insurance data

The modeling of personal accident insurance data has been a topic of high relevance in the insurance literature. This type of data often exhibits positive skewness and heavy tails. In this work, we propose a new quantile regression model based on the scale-mixture Birnbaum-Saunders distribution for modeling personal accident insurance data. The maximum likelihood estimates of the model parameters are obtained via the EM algorithm. Two Monte …