Title: A summary of new results on optimal parameter estimation under zero-excess assumptions
Authors: De Vylder, FE ×
Goovaerts, Marc #
Issue Date: 1992
Series Title: Insurance: Mathematics & Economics vol:11 issue:2 pages:153-161
Abstract: A basic idea of credibility theory is to approximate some unobservable random quantity as a linear combination of observable random variables. In geometrical language, this amounts to a projection on the linear space defined by the latter variables. By the same approach, optimal point estimators can be constructed for the unknown parameters occurring in the various models. For the most part, the family of admitted estimators is a plane in the Hilbert space of the considered random variables. Then, the projection of the unknown parameter on that plane is the best (in the sense of minimum variance) estimator or pseudo-estimator in the allowed family. Under zero excess assumptions only, the determination of the projection is possible and easy in most cases. A remarkable aspect of credibility theory is its distribution-free character. This character is preserved in the parameter estimation
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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