The linear growth credibility model

DOI10.1080/03461238.1984.10413762MaRDI QIDQ3221244zbMATH OpenOpenAlexFDO

Authors

Publication date 1984

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

Full work available at URL https://doi.org/10.1080/03461238.1984.10413762

zbMATH Keywords

evolutionary modelslinear credibility estimatorlinear filtering theorylinear growth credibility modelrandom shocksrecursionsrisk premium

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• A Bayesian Approach to Short-term Forecasting
• Credibility and the Dirichlet process
• Credibility theory for some evolutionary models
• Empirical Bayes credibility
• Exponential Smoothing and Short-Term Sales Forecasting
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Recursive credibility estimation
• Ruin theory in the linear model
• The credible distribution function is an admissible bayes rule
• The mean credibility formula is a bayes rule
• Two classes of covariance matrices giving simple linear forecasts

Cited in

(5)

• A seemingly unrelated regression model in a credibility framework.
• Rekursive SchÄtzverfahren in der KredibilitÄtstheorie
• scientific article; zbMATH DE number 24196 (Why is no real title available?)
• Empirical kalman-Credibility
• Credibility for stationarity

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