Payment Process Estimation in Aggregated Insurance Models

Martin Bladt; Marcus Christiansen

Payment Process Estimation in Aggregated Insurance Models

统计方法学 2026-06-30 v1 概率论统计理论

作者: Martin Bladt , Marcus Christiansen

摘要

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.

引用

@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}
}