Credibility theory and the Kalman filter

DOI10.1016/0167-6687(83)90026-4zbMath0559.62084OpenAlexW2038344748MaRDI QIDQ2266333

Ben Zehnwirth, Piet de Jong

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0167-6687(83)90026-4

zbMATH Keywords

Kalman filtercredibility modelsrecursive forecasting of premiumsrecursive prediction errors

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Filtering in stochastic control theory (93E11)

Related Items (5)

Controlling the effects of adverse selection in flexible benefit plans: a pricing-based approach ⋮ Dynamic credibility with outliers and missing observations ⋮ A seemingly unrelated regression model in a credibility framework. ⋮ State space modeling of non-standard actuarial time series ⋮ Empirical kalman-Credibility

Cites Work

• Finite credibility formulae in evolutionary models
• The credibility approach to experience rating
• Recursive credibility estimation
• Credibility analysis of a general hierarchical model
• SOME THEOREMS IN LEAST SQUARES
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Credibility theory and the Kalman filter