Abstract
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 language | English |
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Pages (from-to) | 281-286 |
Number of pages | 6 |
Journal | Insurance: Mathematics and Economics |
Volume | 2 |
Issue number | 4 |
DOIs | |
Publication status | Published - 1983 |
Keywords
- Bayesian estimation
- Credibility theory
- Kalman filter