Recursive estimation of the claim rates and sizes in an insurance model (Q1769359)

The paper considers a heterogeneous insurance portfolio, which is properly split into groups of policies, according to the different levels of the various risk factors involved. Referring to the different groups, recursive filters for the claim rates and the claim sizes are provided. Finally an iterative numerical method, i.e. the expectation maximization (EM), is applied in order to update the parameters of the model presented in the paper.