2024/08/23 by Bathke, T., Furrer, C.
#FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Statistics Theory (math.ST)
paper · doi:10.48550/arxiv.2408.13176
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.