An observation-driven state-space model for claims size modelling

DOI10.1002/CJS.70024MaRDI QIDQ7253583zbMATH OpenFDO

Authors Jae Youn Ahn, Himchan Jeong, Mario V. Wüthrich

Publication date 27 May 2026

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1002/CJS.70024

zbMATH Keywords

claim sizeevolutionary credibilityKalman filterobservation-driven state-space model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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