Credibility Weighted Hazard Estimation

Jens Perch Nielsen and Bjørn Lunding Sandqvist

ASTIN Bulletin, 2000, vol. 30, issue 2, 405-417

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.

Date: 2000
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