Payment Process Estimation in Aggregated Insurance Models
Methodology
2026-06-30 v1 Probability
Statistics Theory
Abstract
Insurance payments may depend on latent micro states although only macro states and realized payments are observed. We study a sojourn-payment model for such aggregated multi-state systems under left-truncation and right-censoring. Starting from a micro-to-macro projection, we establish strong consistency and weak convergence for inverse-probability-weighted estimators of state-specific cumulative payment processes.
Cite
@article{arxiv.2606.31970,
title = {Payment Process Estimation in Aggregated Insurance Models},
author = {Martin Bladt and Marcus Christiansen},
journal= {arXiv preprint arXiv:2606.31970},
year = {2026}
}