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Minimum Norm Estimation Under Parameter Constraints with an Application to Insurance

Authors: Juumlrgen Kleffe a; Ragnar Norberg a
Affiliation:   a Freie Universitaumlt Berlin and University of Copenhagen,
DOI: 10.1080/02331889808802637
Publication Frequency: 6 issues per year
Published in: journal Statistics, Volume 31, Issue 3 1998 , pages 215 - 234
Formats available: PDF (English)
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Abstract

A Minimum Norm Quadratic Estimator is developed for situations where some fixed effects and variance components coincide. The study is motivated 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.
Keywords: Variance components; empirical Bayes; linear models
Mathematical Subject Classification: 62C12; 62J10; 62P05
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