Credibility Models with Time-Varying Trend Components

The authors present a time series model wherein trend and seasonality factors are allowed to change over time. This is in contrast to the usual Bühlman Straub model wherein trend and seasonality are assumed to be constant. As expected, their model has the Bühlman Straub model as a special case. It appears that their methods tend to provide greater forecast accuracy than the Bühlman Straub approach.