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Document Details : Title: Robust Credibility via Robust Kalman Filtering Author(s): KREMER, Erhard Journal: ASTIN Bulletin Volume: 24 Issue: 2 Date: November 1994 Pages: 221-233 DOI: 10.2143/AST.24.2.2005066 Abstract : 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. |
