Recursive credibility estimation

Abstract

The paper treats models in which credibility estimators may be updated recursively as time passes. It is shown that when updating the credibility estimators, we get their estimation errors updated as a by-product. The models treated include cases with an unknown underlying random parameter that develops over time.

Paper presented at the Oberwolfach Conference on Risk Theory, October 1980.

Paper presented at the Oberwolfach Conference on Risk Theory, October 1980.

Notes

Paper presented at the Oberwolfach Conference on Risk Theory, October 1980.