Dynamic credibility with outliers and missing observations

MaRDI QIDQ1920974zbMATH OpenFDO

Authors Tomáš Cipra

Publication date 9 February 1997

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/32942

zbMATH Keywords

\(M\)-estimationcredibility modelsmissing observationsoutliersriskrobust Kalman filtershrinkagetime series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

• Credibility theory and the Kalman filter
• Credibility theory for some evolutionary models
• Early warning
• Empirical kalman-Credibility
• scientific article; zbMATH DE number 3753913 (Why is no real title available?)
• scientific article; zbMATH DE number 61455 (Why is no real title available?)
• scientific article; zbMATH DE number 3522959 (Why is no real title available?)
• scientific article; zbMATH DE number 3551731 (Why is no real title available?)
• scientific article; zbMATH DE number 837302 (Why is no real title available?)
• scientific article; zbMATH DE number 3314912 (Why is no real title available?)
• Large claims in credibility
• On practical implementation of robust kalman filtering
• Optimal collapsing of mixture distributions in robust recursive estimation
• Recursive credibility estimation
• Robust Statistics
• Stochastische Modellierung in der Erfahrungstarifierung

Cited in

(3)

• scientific article; zbMATH DE number 5507222 (Why is no real title available?)
• A heavy-tailed and overdispersed collective risk model
• Exponential smoothing for irregular data.

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