On Stochastic Approximation and Credibility

DOI10.1080/03461230050131858MaRDI QIDQ4258729zbMATH OpenOpenAlexFDO

Authors Zinoviy Landsman, Udi E. Makov

Publication date 14 September 1999

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461230050131858

zbMATH Keywords

credibility formulasexponential dispersionfair premiumlocation dispersion familyoptimal stepwise gain sequencestochastic approximation

Mathematics Subject Classification ID

Stochastic approximation (62L20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Sequential credibility evaluation for symmetric location claim distributions
• Sequential Quasi-Credibility for Scale Dispersion Models
• A new approach to the credibility formula
• Exponential dispersion models and credibility
• Credibility evaluation for the exponential dispersion family

Cites work

• A Stochastic Approximation Method
• Conjugate priors for exponential families
• Exponential dispersion models and credibility
• Exponential Dispersion Models and Extensions: A Review
• Exponential transformation models
• Fitting Tweedie's compound poisson model to insurance claims data
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• Maximum likelihood estimation and large-sample inference for generalized linear and nonlinear regression models
• Natural exponential families with quadratic variance functions
• Natural real exponential families with cubic variance functions
• On polynomial variance functions
• Reproducibility and natural exponential families with power variance functions
• The Lindsay transform of natural exponential families

Cited in

(9)

• Semilinear credibility with several approximating functions
• Sequential credibility evaluation for symmetric location claim distributions
• Credibility theory: A new view from the theory of second order optimal statistics.
• Credibility theory and the Kalman filter
• A nonparametric sequential learning procedure for estimating the pure premium
• Sequential Quasi-Credibility for Scale Dispersion Models
• Contaminated Exponential Dispersion Loss Models
• Principal Applications of Bayesian Methods in Actuarial Science
• The structure of the distribution of a couple of observable random variables in credibility theory

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