The Linear Markov Property in Credibility Theory

Thomas Witting

ASTIN Bulletin, 1987, vol. 17, issue 1, 71-84

Abstract: We study the linear Markov property, i.e. the possibility of basing the credibility estimator on data of the most recent time period without loss of accuracy. Necessary and sufficient conditions are derived generally. The meaning of the linear Markov property is also discussed in different experience rating and loss reserving models.

Date: 1987
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