MINIMUM NORM ESTIMATION UNDER PARAMETER CONSTRAINTS WITH AN APPLICATION TO INSURANCE

Authors
KLEFFE J NORBERG R
Citation
J. Kleffe et R. Norberg, MINIMUM NORM ESTIMATION UNDER PARAMETER CONSTRAINTS WITH AN APPLICATION TO INSURANCE, Statistics, 31(3), 1998, pp. 215-234
Citations number
4
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Statistics → ACNP
ISSN journal
02331888
Volume
31
Issue
3
Year of publication
1998
Pages
215 - 234
Database
ISI
SICI code
0233-1888(1998)31:3<215:MNEUPC>2.0.ZU;2-Y
Abstract
A Minimum Norm Quadratic Estimator is developed for situations where s ome fixed effects and variance components coincide. The study is motiv ated by a semiparametric latent variable model frequently encountered in insurance, where a Poisson assumption induces identity between the mean and the within-unit variance. The method is applied to authentic group life insurance data, and its performance is also illustrated by simulations.