Credibility theory for some evolutionary models

Erhard Kremer

25 citations0/0 files storedScandinavian Actuarial Journal

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Insurance, Mortality, Demography, Risk Management Probability and Statistical Research Probability and Risk Models

Abstract

In this paper general recursion formulas for linear credibility estimators are presented for a class of evolutionary models. The results are derived by applying the well developed theory of prediction in stationary time series. The paper is mainly of theoretical interest, since most results are of an asymptotic nature.

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References

1977Time Series Analysis: Forecasting and Control 1971Time Series Analysis Forecasting and Control 2000Forecasting Economic Time Series 1977Forecasting Economic Time Series 1967Experience Rating and Credibility

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1982Exponential smoothing and credibility theory 1983Finite credibility formulae in evolutionary models

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