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092033 (M21) Smoothness criteria for multi-dimensional Whittaker graduation : Taylor G., Centre for Actuarial Studies, Research Paper No. 37, 1996

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 84 KB
Volume: 20
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80657-9

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✦ Synopsis

Whittaker graduation is applied to the spatial smoothing of insurance data. Such data (e.g. claim frequency) form a surface over the 2-dimensional geographic domain to which they relate. Observations on this surface are subject to sampling error. They need to be smoothed spatially if a reliable estimate of the underlying surface is to be obtained. An earlier paper provided a measure of smoothness of a surface. This has been incorporated in 2-dimensional Whittaker graduation to effect the necessary smoothing. The details of this are worked out in section 4. The procedure is illustrated by numerical example in section 5. The Bayesian interpretation of this form of spatial smoothing is discussed, and used to assist in the selection of the Whittaker relativity constant.

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