Recursive credibility estimation

Bjørn Sundt

55 citations0/0 files storedScandinavian Actuarial Journal

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

The paper treats models in which credibility estimators may be updated recursively as time passes. It is shown that when updating the credibility estimators, we get their estimation errors updated as a by-product. The models treated include cases with an unknown underlying random parameter that develops over time.

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1967Experience Rating and Credibility

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1988Credibility estimators with geometric weights 1982Exponential smoothing and credibility theory 1991Credibility Models with Time-Varying Trend Components 2009Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result 2016A multivariate evolutionary credibility model for mortality improvement rates

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