On credibility and robustness with the Kalman filter

José Garrido and Rosario Romera

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Bühlmann (1967) gave a formal Bayesian derivation of the credibility ratio estimators that actuaries had been using for many years. Since then various generalizations of Bühlmann's model have appeared in the literature, each relaxing the i.i.d. assumptions in its own way. The introduction of weights is due to Bülhmann & Straub (1970) and that the regressors to Hachemeister (1975), but the first comprehensive actuarial application of the Kalman filter is due to de Jong & Zehnwirth (1983). More recent efforts have concentrated on the robustification of these estimators, as they provedı to be extremely sensitive to large claims. Kremer (1991) studies a robust regression credibility model and Künsch (1992) tackles the weighted case. Following Kremer (1994) we propose here a robust Kalman filter credibility model.

Keywords: Credibility; Theory; robustness; Kalman; filter (search for similar items in EconPapers)
Date: 1995-07
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