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.
Author Keywords: Credibility theory; Bayesian estimation; Kalman filter
Volume
2(4)
Page
281-286
Year
1983
Categories
Financial and Statistical Methods
Credibility
Financial and Statistical Methods
Statistical Models and Methods
Publications
Insurance: Mathematics & Economics