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Document Details : Title: Experience Rating of ARIMA Processes by the Kalman Filter Author(s): RANTALA, Jukka Journal: ASTIN Bulletin Volume: 16 Issue: 1 Date: April 1986 Pages: 19-31 DOI: 10.2143/AST.16.1.2015010 Abstract : This paper deals with experience rating of claims processes of ARIMA structures. By experience rating we mean that future premiums should be only a function of past values of the claims process. The main emphasis is on demonstrating the usefulness of the control-theoretical approach in the search for optimal rating rules. Optimality is here defined to mean as smooth a flow of premiums as possible when the variation in the accumulated profit is restricted to a certain amount. First it is shown how the underlying model in its simplest form can be transformed into the state-space form. Then the Kalman filter technique is used to find the optimal rules. Also a time delay in information is taken into account. The optimal rules are illustrated by examples. |
