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Robust Credibility via Robust Kalman Filtering

Published online by Cambridge University Press:  29 August 2014

Erhard Kremer
Erhard Kremer*
Affiliation:
Hamburg
*
Institut für Mathematische Stochastik, Bundesstraße 55, 20146 Hamburg, FRG.
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Abstract

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Credibility theory is closely related to Kalman filtering. As a consequence, methods proposed for robustifying the Kalman filter can often be specialised to obtain robust credibility rating procedures. The application of one such method to several classical credibility models is shown in this paper.

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 24 , Issue 2 , November 1994 , pp. 221 - 233
Copyright
Copyright © International Actuarial Association 1994

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