Credibility and old estimates

DOI10.1016/0167-6687(87)90012-6MaRDI QIDQ1095551zbMATH OpenOpenAlexFDO

Authors Bjørn Sundt

Publication date 1987

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(87)90012-6

zbMATH Keywords

credibility estimatorexamplesold estimatorreplacement of the constant term

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

In the present paper we discuss under what conditions replacement of the constant term of a credibility estimator by an old estimator will improve the credibility estimator. Two examples are given.

Recommendations

• An Extension of the Bühlmann Credibility Model;Eine Erweiterung des Bühlmann Glaubwürdigkeitsmodelles
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Cites work

• Finite credibility formulae in evolutionary models
• scientific article; zbMATH DE number 3522959 (Why is no real title available?)
• On choice of statistics in credibility estimation
• On the theory of moving average graduation
• Recursive credibility estimation

Cited in

(1)

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

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