Recursive credibility estimation
- 1 January 1981
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1981 (1) , 3-21
- https://doi.org/10.1080/03461238.1981.10413728
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.Keywords
This publication has 5 references indexed in Scilit:
- A multi-level hierarchical credibility regression modelScandinavian Actuarial Journal, 1980
- A hierarchical credibility regression modelScandinavian Actuarial Journal, 1979
- Geometrical credibilityScandinavian Actuarial Journal, 1976
- Two classes of covariance matrices giving simple linear forecastsScandinavian Actuarial Journal, 1976
- Experience Rating and CredibilityASTIN Bulletin, 1967