Linear Filtering and Recursive Credibility Estimation
- 1 April 1985
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 15 (1) , 19-35
- https://doi.org/10.2143/ast.15.1.2015030
Abstract
Recursive credibility estimation is discussed from the viewpoint of linear filtering theory. A conjunction of geometric interpretation and the innovation approach leads to general algorithms not developed before. Moreover, covariance characterizations considered by other researchers drop our elegantly as a result of geometric considerations. Examples are presented of Kalman type filters valid for non-Gaussian measurements.Keywords
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