Experience rating in the classic Markov chain life insurance setting: An empirical Bayes and multivariate frailty approach
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Experience rating in the classic Markov chain life insurance setting : An empirical Bayes and multivariate frailty approach. / Furrer, Christian.
I: European Actuarial Journal, Bind 9, 2019, s. 31–58.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Experience rating in the classic Markov chain life insurance setting
T2 - An empirical Bayes and multivariate frailty approach
AU - Furrer, Christian
PY - 2019
Y1 - 2019
N2 - 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.
AB - 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.
U2 - 10.1007/s13385-019-00190-5
DO - 10.1007/s13385-019-00190-5
M3 - Journal article
VL - 9
SP - 31
EP - 58
JO - European Actuarial Journal
JF - European Actuarial Journal
SN - 2190-9733
ER -
ID: 213502953