Credibility theory and the Kalman filter

Piet de Jong; Ben Zehnwirth

doi:10.1016/0167-6687(83)90026-4

Credibility theory and the Kalman filter

Piet de Jong^*, Ben Zehnwirth

^*Corresponding author for this work

Department of Applied Finance

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

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
Pages (from-to)	281-286
Number of pages	6
Journal	Insurance: Mathematics and Economics
Volume	2
Issue number	4
DOIs	https://doi.org/10.1016/0167-6687(83)90026-4
Publication status	Published - 1983

Keywords

Bayesian estimation
Credibility theory
Kalman filter

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10.1016/0167-6687(83)90026-4

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title = "Credibility theory and the Kalman filter",

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.",

keywords = "Bayesian estimation, Credibility theory, Kalman filter",

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U2 - 10.1016/0167-6687(83)90026-4

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EP - 286

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 1873-5959

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ER -

Credibility theory and the Kalman filter

Abstract

Keywords

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