Credibility theory and the Kalman filter

Piet de Jong*, Ben Zehnwirth

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

9 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 languageEnglish
Pages (from-to)281-286
Number of pages6
JournalInsurance: Mathematics and Economics
Volume2
Issue number4
DOIs
Publication statusPublished - 1983

Keywords

  • Bayesian estimation
  • Credibility theory
  • Kalman filter

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