Credibility theory and filter theory in discrete and continuous time

Ramona Maier and Michael Merz

No 318, Tübinger Diskussionsbeiträge from University of Tübingen, School of Business and Economics

Abstract: It is well known that credibility theory in discrete time is closely related to the discrete technique of Kalman filtering. In this paper we show the close relationship between credibility theory and filter theory in discrete and continuous time as well as between credibility theory in a discrete and continuous time setting.

Date: 2008
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:zbw:tuedps:318

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