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Document Details :

Title: Linear Filtering and Recursive Credibility Estimation
Author(s): ZEHNWIRTH, Ben
Journal: ASTIN Bulletin
Volume: 15    Issue: 1   Date: April 1985   
Pages: 19-35
DOI: 10.2143/AST.15.1.2015030

Abstract :
Recursive credibility estimation is discussed from the viewpoint of linear filtering theory. A conjunction of geometric mterpretation and the innovation approach leads to general algorithms not developed before. Moreover, covariance characterizations considered by other researchers drop our elegantly as a result of geometric considerations. Examples are presented of Kalman type filters valid for non-Gaussian measurements