{"title":"Dynamic credibility with outliers and missing observations","authors":"T. Cipra","doi":"10.21136/AM.1996.134318","DOIUrl":null,"url":null,"abstract":"In actuarial practice the credibility models must face the problem of outliers and missing observations. If using the $M$-estimation principle from robust statistics in combination with Kalman filtering one obtains the solution of this problem that is acceptable in the numerical framework of the practical actuarial credibility. The credibility models are classified as static and dynamic in this paper and the shrinkage is used for the final ratemaking.","PeriodicalId":55505,"journal":{"name":"Applications of Mathematics","volume":"12 1","pages":"149-159"},"PeriodicalIF":0.6000,"publicationDate":"1996-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applications of Mathematics","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.21136/AM.1996.134318","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
引用次数: 5
Abstract
In actuarial practice the credibility models must face the problem of outliers and missing observations. If using the $M$-estimation principle from robust statistics in combination with Kalman filtering one obtains the solution of this problem that is acceptable in the numerical framework of the practical actuarial credibility. The credibility models are classified as static and dynamic in this paper and the shrinkage is used for the final ratemaking.
期刊介绍：
Applications of Mathematics publishes original high quality research papers that are directed towards applications of mathematical methods in various branches of science and engineering.
The main topics covered include:
- Mechanics of Solids;
- Fluid Mechanics;
- Electrical Engineering;
- Solutions of Differential and Integral Equations;
- Mathematical Physics;
- Optimization;
- Probability
Mathematical Statistics.
The journal is of interest to a wide audience of mathematicians, scientists and engineers concerned with the development of scientific computing, mathematical statistics and applicable mathematics in general.
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