Abstract
We study the linear Markov property, i.e. the possibility of basing the credibility estimator on data of the most recent time period without loss of accuracy. Necessary and sufficient conditions are derived generally. The meaning of the linear Markov property is also discussed in different experience rating and loss reserving models.
Keywords Linear Markov property; linear sufficiency; credibility.
Volume
17:1
Page
71-84
Year
1987
Categories
Financial and Statistical Methods
Credibility
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Bulletin
