Box-Jenkins credibility

DOI10.1007/BF02808821MaRDI QIDQ3031812zbMATH OpenFDO

Authors Erhard Kremer

Publication date 1988

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02808821

zbMATH Keywords

ARMA models of the time seriescredibility estimation of premiumsevolutionalry modelsnumerical solution

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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Cites work

• Bonus hunger and credibility estimators with geometric weights
• Credibility theory for some evolutionary models
• Empirical Bayes credibility
• Exponential smoothing and credibility theory
• Hierarchical credibility: analysis of a random effect linear model with nested classification
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• scientific article; zbMATH DE number 3551731 (Why is no real title available?)
• scientific article; zbMATH DE number 3314912 (Why is no real title available?)
• scientific article; zbMATH DE number 3333061 (Why is no real title available?)
• On optimal parameter estimation in credibility
• Parameter estimation in some credibility models
• Recursive credibility estimation
• Rekursive SchÄtzverfahren in der KredibilitÄtstheorie
• Two classes of covariance matrices giving simple linear forecasts

Cited in

(2)

• Credibility for stationarity
• Evolutionary credibility risk premium

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