Recursive credibility estimation

DOI10.1080/03461238.1981.10413728MaRDI QIDQ3914280zbMATH OpenOpenAlexFDO

Authors Bjørn Sundt

Publication date 1981

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

Full work available at URL https://doi.org/10.1080/03461238.1981.10413728

zbMATH Keywords

recursive credibility estimationvarying risk parameter

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential estimation (62L12)

Cites work

• A hierarchical credibility regression model
• A multi-level hierarchical credibility regression model
• Geometrical credibility
• Two classes of covariance matrices giving simple linear forecasts

Cited in

(20)

• Parameter estimation in some credibility models
• Empirical kalman-Credibility
• Rekursive SchÄtzverfahren in der KredibilitÄtstheorie
• Credibility and old estimates
• Credibility theory and the Kalman filter
• Simple risk forecasts using credibility
• Dynamic credibility with outliers and missing observations
• Eine nÄhere Betrachtung der die Forderungen beeinflussenden Faktoren bei erfahrungstarifiertem Portefeuille
• On time-heterogeneous credibility estimation
• Hachemeister's Bayesian regression model revisited
• Credibility theory for some evolutionary models
• Ruin theory in the linear model
• On the credibility of insurance claim frequency: generalized count models and parametric estimators
• On multiple counting processes with the Markov property
• A multivariate evolutionary credibility model for mortality improvement rates
• A seemingly unrelated regression model in a credibility framework.
• The linear growth credibility model
• Evolutionary credibility risk premium
• Linearly sufficient fun with credibility
• Box-Jenkins credibility

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