Matrix derivation of moving-weighted-average graduation formulas

DOI10.1016/0167-6687(87)90002-3MaRDI QIDQ1087294zbMATH OpenOpenAlexFDO

Authors E. S. W. Shiu

Publication date 1987

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(87)90002-3

zbMATH Keywords

Lagrange multipliersmatrix derivationmoving-weighted-average graduation formulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

This paper derives the coefficients of the symmetrical and unsymmetrical \(\min imum\)-R\({}_ z\) moving-weighted-average graduation formulas by applying the method of Lagrange multipliers and results of \textit{T. N. E. Greville} [see \textit{D. S. Meek} and \textit{R. G. Stanton} (eds.): Selected papers of T. N. E. Greville. (1984; Zbl 0547.01037)] and \textit{W. D. Hoskins} and \textit{P. J. Ponzo} [Math. Comput. 26, 393-400 (1972; Zbl 0248.15008)].

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Cites work

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Cited in

(3)

• On de-seasonalising adjusted-average formulae
• The tails in moving average graduation
• Moving weighted average graduation using kernel estimation

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