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math.ST2025
Non-parametric estimators of scaled cash flows
T. Bathke, C. Furrer
In multi-state life insurance, incidental policyholder behavior gives rise to expected cash flows that are not easily targeted by classic non-parametric estimators if data is subje…
math.ST2025
Conditional Aalen--Johansen estimation
Martin Bladt, Christian Furrer
The conditional Aalen--Johansen estimator, a general-purpose non-parametric estimator of conditional state occupation probabilities, is introduced. The estimator is applicable for…