Non-parametric estimators of scaled cash flows
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.
Authors
- Theis Bathke
- Christian Furrer (ORCID: https://orcid.org/0000-0002-7600-4513)
Publication Details
- Journal
- Insurance Mathematics and Economics
- Published
- 2025-08-25
- DOI
- https://doi.org/10.1016/j.insmatheco.2025.103152
- Primary Topic
- Insurance, Mortality, Demography, Risk Management
- Type
- article
- Field-Weighted Citation Impact
- 0.00