Recursive credibility estimation

DOI10.1080/03461238.1981.10413728zbMath0463.62093OpenAlexW1986741887MaRDI QIDQ3914280

Bjoern 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)

Related Items (20)

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

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

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