Non-parametric estimators of scaled cash flows
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2024
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| _version_ | 1866916903367213056 |
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| author | Bathke, T. Furrer, C. |
| author_facet | Bathke, T. Furrer, C. |
| contents | In multi-state life insurance, incidental policyholder behavior gives rise to expected cash flows that are not easily targeted by classic non-parametric estimators if data is subject to sampling effects. We introduce a scaled version of the classic Aalen--Johansen estimator that overcomes this challenge. Strong uniform consistency and asymptotic normality are established under entirely random right-censoring, subject to lax moment conditions on the multivariate counting process. In a simulation study, the estimator outperforms earlier proposals from the literature. Finally, we showcase the potential of the presented method to other areas of actuarial science. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_13176 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Non-parametric estimators of scaled cash flows Bathke, T. Furrer, C. Statistics Theory Methodology In multi-state life insurance, incidental policyholder behavior gives rise to expected cash flows that are not easily targeted by classic non-parametric estimators if data is subject to sampling effects. We introduce a scaled version of the classic Aalen--Johansen estimator that overcomes this challenge. Strong uniform consistency and asymptotic normality are established under entirely random right-censoring, subject to lax moment conditions on the multivariate counting process. In a simulation study, the estimator outperforms earlier proposals from the literature. Finally, we showcase the potential of the presented method to other areas of actuarial science. |
| title | Non-parametric estimators of scaled cash flows |
| topic | Statistics Theory Methodology |
| url | https://arxiv.org/abs/2408.13176 |