Risk invariant linear estimation |
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| Authors: | Walther Neuhaus |
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| Institution: | Storebrand Insurance Company , P.O. Box 1380 Vika, N-0114 , Oslo 1 , Norway |
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| Abstract: | Abstract We show how to construct risk invariant (equalizer) linear estimators in credibility models, when the variance components are unknown but constrained by linear equations. Risk invariant linear estimators will often be minimax and admissible. They are useful in situations with unidentifiable variance components, but may also be used when reliable estimates of the variance components are not available. |
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