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Super-Efficient Prediction Based on High-Quality Marker Information

Published online by Cambridge University Press:  29 August 2014

Jens Perch Nielsen
Jens Perch Nielsen*
Affiliation:
Codan, Gammel Kongevej 60, 1799 Copenhagen, Denmark
*
Codan, Gammel Kongevej 60, 1799 Copenhagen, Denmark
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Abstract

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Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated -consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated -consistently if a Markov type property holds for the high quality marker.

Keywords

Counting ProcessHazardKernelMarkerNonparametric estimationPredictionSurvival analysisAsset-Liability managementDataminingHigh frequency data
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 30 , Issue 2 , November 2000 , pp. 295 - 303
Copyright
Copyright © International Actuarial Association 2000

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