Finite credibility formulae in evolutionary models

DOI10.1080/03461238.1983.10408696zbMath0526.62094OpenAlexW2019619440MaRDI QIDQ3040382

Bjoern Sundt

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1080/03461238.1983.10408696

zbMATH Keywords

Kalman filterrecursive procedureevolutionary modelsARMA modelcredibility estimationexpected claim amountfinite credibility formulae

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

Credibility and old estimates ⋮ A simple Bayesian state-space approach to the collective risk models ⋮ A seemingly unrelated regression model in a credibility framework. ⋮ BAP and credibility ⋮ Credibility theory and the Kalman filter ⋮ Empirical kalman-Credibility ⋮ Credibility for stationarity ⋮ Linearly sufficient fun with credibility

Cites Work

• Dynamical systems and their applications: linear theory
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