State space modeling of non-standard actuarial time series

DOI10.1016/0167-6687(92)90027-9zbMath0764.62087OpenAlexW2080267999MaRDI QIDQ1209476

Bradley P. Carlin

Publication date: 16 May 1993

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

Full work available at URL: https://doi.org/10.1016/0167-6687(92)90027-9

zbMATH Keywords

smoothingnonlinear modelsforecastingmultivariate analysiscredibility theorystate-space modelGibbs samplingreviewKalman filter algorithmdensity estimation for future observationsdirect modeling of non-stationary series without differencingincorporation of covariatesMonte Carlo integration techniquesmultivariate time-series modelingnon-Gaussian errorsnon-normal error assumptions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items

Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty, Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use, Actuarial Modeling with MCMC and BUGs, A Bayesian Approach to Understanding Time Series Data

Uses Software

• MINITAB

Cites Work

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