On the solution of marginal-sum equations


Dietze, Siegfried ; Riedrich, Thomas ; Schmidt, Klaus D.


URL: https://www.math.tu-dresden.de/sto/schmidt/dsvm/ds...
Document Type: Working paper
Year of publication: 2006
The title of a journal, publication series: Dresdner Schriften zur Versicherungsmathematik
Volume: 2006,1
Place of publication: Dresden
Publishing house: Institut für Mathematische Stochastik, Technische Universität Dresden
ISSN: 0946-4727
Publication language: English
Institution: School of Business Informatics and Mathematics > Mathematik (Seniorprofessur) (Schmidt, K.D. 2018-)
Subject: 510 Mathematics
Abstract: In motor car insurance, the risks of a portfolio usually are grouped according to the realizations of two (or more) risk characteristics and it is assumed that, for every group, the expected average claim amount can be represented as aproduct of parameters representing the realizations of the risk characteristics. This model leads, in a natural way, to the problem of marginal–sum estimationand hence to the problem of solving marginal–sum equations. Under the assumption that at least one observation is available in every group, we show that a solution of the marginal–sum equations exists, that it is radially unique, and that it can be obtained by iteration with an arbitrary initial value.

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.




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Dietze, Siegfried ; Riedrich, Thomas ; Schmidt, Klaus D. (2006) On the solution of marginal-sum equations. Dresdner Schriften zur Versicherungsmathematik Dresden 2006,1 [Working paper]


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