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Credibility Weighted Hazard Estimation

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  • Nielsen, Jens Perch
  • Sandqvist, Bjørn Lunding

Abstract

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.

Suggested Citation

  • Nielsen, Jens Perch & Sandqvist, Bjørn Lunding, 2000. "Credibility Weighted Hazard Estimation," ASTIN Bulletin, Cambridge University Press, vol. 30(2), pages 405-417, November.
    • Handle: RePEc:cup:astinb:v:30:y:2000:i:02:p:405-417_01
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    Cited by:

    1. Yahia Salhi & Pierre-Emmanuel Thérond, 2016. "Age-Specific Adjustment of Graduated Mortality," Working Papers hal-01391285, HAL.
    2. Salhi, Yahia & Thérond, Pierre-E., 2018. "Age-Specific Adjustment Of Graduated Mortality," ASTIN Bulletin, Cambridge University Press, vol. 48(2), pages 543-569, May.

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