J
Jens Perch Nielsen
Researcher at City University London
Publications - 197
Citations - 4874
Jens Perch Nielsen is an academic researcher from City University London. The author has contributed to research in topics: Estimator & Kernel density estimation. The author has an hindex of 37, co-authored 195 publications receiving 4574 citations. Previous affiliations of Jens Perch Nielsen include Codan & University of Copenhagen.
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Smooth backfitting in practice
TL;DR: A feasible cross‐validation procedure is introduced and applied to the problem of data‐driven bandwidth choice for the smooth backfitting estimator (SBE), showing that the SBE is less affected by sparseness of data in high dimensional regression problems or strongly correlated designs.
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Kernel estimation in a nonparametric marker dependent hazard model
Oliver Linton,Jens Perch Nielsen +1 more
TL;DR: In this article, a nonparametric kernel hazard estimator is proposed in a non-parametric model where the stochastic hazard depends on the current value of time and on the value of a time dependent covariate or marker.
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Kernel density estimation of actuarial loss functions
TL;DR: This paper adds insight into the kernel smoothing transformation method through an extensive simulation study with a particular view to the performance of the estimation at the tail of actuarial loss functions.
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Nonparametric Autoregression with Multiplicative Volatility and Additive mean
TL;DR: In this article, the joint estimation of both the additive mean and the multiplicative volatility is considered and the technique used is marginally integrated local polynomial estimation, which is applied to the deutschmark/US dollar daily exchange returns.
Posted ContentDOI
Double Chain Ladder
TL;DR: By adding the information of reported count data to a classical triangle of reserving data, a suprisingly simple method for forecasting IBNR and RBNS claims is derived.