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optimal smoothing kernel

Journal of the Institute of Actuaries (1)

Institute and Faculty of Actuaries (1)

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On the choice of bandwidth for kernel graduation
J. B. Gavin, S. Haberman, R. J. Verrall
Journal:

Journal of the Institute of Actuaries / Volume 121 / Issue 1 / 1994

Published online by Cambridge University Press:

20 April 2012, pp. 119-134

Print publication:

1994
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This paper considers cross-validation as an objective and risk-based method for selecting the smoothing parameter in a non-parametric graduation. In addition, the relative merits of two kernel estimators are compared in the context of mortality graduation. Finally, it is well known in the statistical literature that the use of theoretically superior kernels is not as important as the choice of bandwidth. Our results support this conclusion, suggesting that the focus on such weights is misguided in the actuarial textbooks on moving weighted averages.