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Linear Filtering and Recursive Credibility Estimation

Published online by Cambridge University Press:  29 August 2014

Ben Zehnwirth
Ben Zehnwirth*
Affiliation:
Macquarie University, North Ryde, Australia
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Abstract

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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

Credibilityfiltering theorylinear Bayesian theorygeometryKalman filterprospective ratemakingGram-SchmidtFourier series
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 15 , Issue 1 , April 1985 , pp. 19 - 35
Copyright
Copyright © International Actuarial Association 1985

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