Sometimes a thin coat is indicative of a thyroid deficiency. This can be tested with a blood test at the vet's.
If he has allergies, this could be playing a role too. My dog has food sensitivities and has always shed quite a bit. I didn't think this was correlated to the food, until I switched her to a "lite" dog food (seems to agree with her digestion better). Since then, the shedding has been cut dramatically; her coat was never thin, but I guess more of it would stay in longer if she wasn't shedding quite so quickly.
Don't know if either one of these things pertains to your dog, but perhaps it'll give you a place to start. Does your vet have any ideas about this?