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The Linear Markov Property in Credibility Theory

  • Thomas Witting (a1)
Abstract
Abstract

We study the linear Markov property, i.e. the possibility of basing the credibility estimator on data of the most recent time period without loss of accuracy. Necessary and sufficient conditions are derived generally. The meaning of the linear Markov property is also discussed in different experience rating and loss reserving models.

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Copyright
Corresponding author
ETH Zürich, Mathematikdepartement HG G 36.1, Rämistr. 101, CH-8092 Zürich.
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H. Drygas (1985) Linear sufficiency and some applications in multilinear estimation. Journal of Multivariate Analysis 16, 7184.

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ASTIN Bulletin: The Journal of the IAA
  • ISSN: 0515-0361
  • EISSN: 1783-1350
  • URL: /core/journals/astin-bulletin-journal-of-the-iaa
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