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Credibility Weighted Hazard Estimation

Published online by Cambridge University Press:  29 August 2014

Jens Perch Nielsen  and
Bjørn Lunding Sandqvist
Jens Perch Nielsen*
Affiliation:
Codan
Bjørn Lunding Sandqvist*
Affiliation:
Codan
*
Codan, Gammel Kongevej 60, 1790 København V, Denmark, E-mail:npj@codan.dk& san@codan.dk
Codan, Gammel Kongevej 60, 1790 København V, Denmark, E-mail:npj@codan.dk& san@codan.dk
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Abstract

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Credibility weighting is helpful in many insurance applications where sparse data crave information from other sources of data. In this paper we aim at estimating a hazard curve using the nonparametric kernel method, where a credibility weighting principle is used locally, so that areas of sparse data for one subgroup can be alleviated by available information from other subgroups. The credibility estimator is found through a Hilbert space projection formulation of Buhlmann-Straub's credibility approach.

Keywords

Counting process theoryKernel hazard estimationCredibilityBühlmann-Straub model
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 30 , Issue 2 , November 2000 , pp. 405 - 417
Copyright
Copyright © International Actuarial Association 2000

References

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