Credibility theory and the Kalman filter (Q2266333)
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English | Credibility theory and the Kalman filter |
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Credibility theory and the Kalman filter (English)
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1983
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Three classical credibility models [namely, \textit{H. Bühlmann} and \textit{E. Straub's} model, Mitt. Verein. Schweiz. Versicherungsmath. 70, 111-133 (1970; Zbl 0197.465), \textit{C. A. Hachemeister's} regression model, Credibility, Theory Appl., Proc. Actuarial Res. Conf., Berkeley 1974, 129-163 (1975; Zbl 0354.62057) and \textit{W. S. Jewell's} hierarchical model, Giorn. Ist. Ital. Attuari 38, 1-16 (1975; Zbl 0392.62086)] are reformulated in terms of Kalman filtering problems, using well-known connections between Bayesian models and the Kalman filter. This formulation provides a new derivation of earlier results on the recursive forecasting of premiums and the corresponding forecasting error, as well as a unified and convenient approach to their computation in practical situations.
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recursive prediction errors
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credibility models
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Kalman filter
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recursive forecasting of premiums
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