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

Harvard

Furrer, C 2019, 'Experience rating in the classic Markov chain life insurance setting: An empirical Bayes and multivariate frailty approach', European Actuarial Journal, bind 9, s. 31–58. https://doi.org/10.1007/s13385-019-00190-5

APA

Furrer, C. (2019). Experience rating in the classic Markov chain life insurance setting: An empirical Bayes and multivariate frailty approach. European Actuarial Journal, 9, 31–58. https://doi.org/10.1007/s13385-019-00190-5

Vancouver

Furrer C. Experience rating in the classic Markov chain life insurance setting: An empirical Bayes and multivariate frailty approach. European Actuarial Journal. 2019;9:31–58. https://doi.org/10.1007/s13385-019-00190-5

Author

Furrer, Christian. / Experience rating in the classic Markov chain life insurance setting : An empirical Bayes and multivariate frailty approach. I: European Actuarial Journal. 2019 ; Bind 9. s. 31–58.

Bibtex

@article{3a39c17896964f9fa91de18ea053244b,
title = "Experience rating in the classic Markov chain life insurance setting: An empirical Bayes and multivariate frailty approach",
abstract = "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.",
author = "Christian Furrer",
year = "2019",
doi = "10.1007/s13385-019-00190-5",
language = "English",
volume = "9",
pages = "31–58",
journal = "European Actuarial Journal",
issn = "2190-9733",
publisher = "Springer",

}

RIS

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