On Stochastic Approximation and Credibility

Zinoviy Landsman and Udi Markov

Scandinavian Actuarial Journal, 1999, vol. 1999, issue 1, 15-31

Abstract: Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. This methodology is defined and is shown to be related to a broad class of credibility formulae derived for the Exponential Dispersion Family (EDF). We further consider a Location Dispersion Family (LDF) which is rich enough and for which no simple credibility formula exists. For this case, a Generalized Sequential Credibility Formula is suggested and an optimal stepwise gain sequence is derived.

Date: 1999
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DOI: 10.1080/03461230050131858

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