Non-parametric estimators of scaled cash flows

T. Bathke; C. Furrer

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arXiv · 2408.13176

Non-parametric estimators of scaled cash flows

T. Bathke·C. Furrer

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Abstract

In multi-state life insurance, incidental policyholder behavior gives rise to expected cash flows that are not easily targeted by classic non-parametric estimators if data is subject to sampling effects. We introduce a scaled version of the classic Aalen--Johansen estimator that overcomes this challenge. Strong uniform consistency and asymptotic normality are established under entirely random right-censoring, subject to lax moment conditions on the multivariate counting process. In a simulation study, the estimator outperforms earlier proposals from the literature. Finally, we showcase the potential of the presented method to other areas of actuarial science.

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T. Bathke, C. Furrer. 2024-08-23. Non-parametric estimators of scaled cash flows. https://arxiv.org/abs/2408.13176

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