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Proportional Hazard Estimation Adjusted by Continuous Credibility

Published online by Cambridge University Press:  17 April 2015

Jens Perch Nielsen  and
Bjørn Lunding Sandqvist
Jens Perch Nielsen
Affiliation:
Royal&Sun Alliance, Codan, Gammel Kongevej 60, 1790 København V, Denmark, E-mail: npj@codan.dk and san@codan.dk
Bjørn Lunding Sandqvist
Affiliation:
Royal&Sun Alliance, Codan, Gammel Kongevej 60, 1790 København V, Denmark, E-mail: npj@codan.dk and san@codan.dk
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Abstract

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This paper extends the continuous credibility weighting introduced to hazard estimation in Hardy and Panjer (1998) and Nielsen and Sandqvist (2000) to the more general case, where the common basis is a proportional hazard model.

Keywords

Counting process theoryKernel hazard estimationContinuous credibilityBühlmann-Straub modelProportional hazard models
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 35 , Issue 1 , May 2005 , pp. 239 - 258
Copyright
Copyright © ASTIN Bulletin 2005

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