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.

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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
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article

Non-parametric estimators of scaled cash flows

Theis Bathke, Christian Furrer
1 links
Insurance Mathematics and Economics
Insurance, Mortality, Demography, Risk Management
article

Non-parametric estimators of scaled cash flows

Theis Bathke, Christian Furrer
article en

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.

Insurance Mathematics and EconomicsVol. 125
Decent work and economic growth
Openalex Percentile: Top 60%
Insurance, Mortality, Demography, Risk Management
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