Credibility theory for some evolutionary models

DOI10.1080/03461238.1982.10405260zbMath0503.62088OpenAlexW2083403671MaRDI QIDQ3969749

Erhard Kremer

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1080/03461238.1982.10405260

zbMATH Keywords

predictionevolutionary modelsasymptotic resultsstationary time seriesgeneral recursion formulaslinear credibility estimators

Mathematics Subject Classification ID

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

Related Items (10)

Dynamic credibility with outliers and missing observations ⋮ The linear growth credibility model ⋮ Rekursive SchÄtzverfahren in der KredibilitÄtstheorie ⋮ Box-Jenkins credibility ⋮ BAP and credibility ⋮ Credibility for stationarity ⋮ Eine nÄhere Betrachtung der die Forderungen beeinflussenden Faktoren bei erfahrungstarifiertem Portefeuille ⋮ Ruin theory in the linear model ⋮ Evolutionary credibility risk premium ⋮ A class of autoregressive models for predicting the final claims amount

Cites Work

• A hierarchical credibility regression model
• Recursive credibility estimation
• Two classes of covariance matrices giving simple linear forecasts
• Abstract credibility
• Credibility analysis of a general hierarchical model
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