Exponential smoothing and credibility theory

DOI10.1016/0167-6687(82)90011-7zbMath0513.62103OpenAlexW2041362779WikidataQ126297709 ScholiaQ126297709MaRDI QIDQ1050739

Erhard Kremer

Publication date: 1982

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(82)90011-7

zbMATH Keywords

time seriesrecursion formulasexponential smoothinglinear credibility estimatornon-stationary ARIMA-processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks ⋮ A discrete-time risk model with Poisson ARCH claim-number process ⋮ Tail asymptotic for discounted aggregate claims with one-sided linear dependence and general investment return ⋮ Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims ⋮ Box-Jenkins credibility ⋮ Uniform Asymptotic Estimates for Ruin Probabilities with Exponential Lévy Process Investment Returns and Two-sided Linear Heavy-tailed Claims ⋮ Ruin problems under IBNR dynamics

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Exponential smoothing and credibility theory