Credibility Theory and Kalman Filtering with Extensions

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/471 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/471 http://eprints.org/relation/isCoversheetVersionOf https://pure.iiasa.ac.at/id/document/471 archive 351 disk0/00/00/04/52 2016-01-15 01:42:45 2021-08-27 17:08:08 2016-01-15 01:42:45 monograph show 2 Mehra R.K. AL0259 Credibility Theory and Kalman Filtering with Extensions pub iis_met iis_mod prog_sds 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. 1975-11 published RM-75-064 RM-75-064 10 2182 public research_memorandum IIASA, Laxenburg, Austria 9 FALSE info:eu-repo/semantics/book