Moment-based density and risk estimation from grouped summary statistics

Philippe Lambert
Additional contact information
Philippe Lambert: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2021039, LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: Data on a continuous variable are often summarized by means of histograms or displayed in tabular format: the range of data is partitioned into consecutive interval classes and the number of observations falling within each class is provided to the analyst. Computations can then be carried in a nonparametric way by assuming a uniform distribution of the variable within each partitioning class, by concentrating all the observed values in the center, or by spreading them to the extremities. Smoothing methods can also be applied to estimate the underlying density or a parametric model can be fitted to these grouped data. For insurance loss data, some additional information is often provided about the observed values contained in each class, typically class-specific sample moments such as the mean, the variance or even the skewness and the kurtosis. The question is then how to include this additional information in the estimation procedure. The present paper proposes a method for performing density and quantile estimation based on such augmented information with an illustration on car insurance data.

Keywords: Nonparametric density estimation; grouped data; sample moments; risk measures (search for similar items in EconPapers)
Pages: 19
Date: 2021-07-09
New Economics Papers: this item is included in nep-ecm and nep-ias
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://dial.uclouvain.be/pr/boreal/en/object/bore ... tastream/PDF_01/view (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvad:2021039

Access Statistics for this paper

More papers in LIDAM Discussion Papers ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Nadja Peiffer ().