Credibility theory and the Kalman filter

Piet de Jong*, Ben Zehnwirth

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)


Following Mehra (1975) we indicate how some of the well known credibility models may be formulated as Kalman filters. The formulation yields recursive premium forecasts including recursive predictions errors which are of importance to practitioners.

Original languageEnglish
Pages (from-to)281-286
Number of pages6
JournalInsurance: Mathematics and Economics
Issue number4
Publication statusPublished - 1983


  • Bayesian estimation
  • Credibility theory
  • Kalman filter


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