Credibility Theory and Kalman Filtering with Extensions

Mehra, R.K. (1975). Credibility Theory and Kalman Filtering with Extensions. IIASA Research Memorandum. IIASA, Laxenburg, Austria: RM-75-064

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In this paper it is shown that the estimate and prediction problems considered in credibility theory are similar to those considered in Kalman filtering theory. The state vector of the risk model consists of the average risk variables such as the number of claims, cost of claims, etc. for a particular risk from the collective of risks. The observed data consists of the risk variables for the collective and for the individual risks. It is required to predict the values of risk variables in the next time period based on this data and to adjust the individual premiums based on claims experience in such a way as to converge to their true values.

Item Type: Monograph (IIASA Research Memorandum)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:42
Last Modified: 27 Aug 2021 17:08

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