Experience rating in the classic Markov chain life insurance setting: An empirical Bayes and multivariate frailty approach
Research output: Contribution to journal › Journal article › Research › peer-review
We consider experience rating in the classic Markov chain life insurance setting.We focus on shrinkage estimation of group efects in an empirical Bayes and multivariate frailty extension, building on ideas from group life insurance and survivaland event history analysis. Within this framework, we provide insights regardingthe structure of the likelihoods and sufciency of summary statistics such as occurrences and exposures. Simple shrinkage estimators, given by well-known credibility formulas, are obtained under quadratic loss for mutually independent conjugateGamma priors. The applicability of these simple shrinkage estimators for disabilityinsurance is illustrated in a numerical example using simulated data.
|Journal||European Actuarial Journal|
|Publication status||E-pub ahead of print - 2019|