Dynamic credibility with outliers and missing observations

zbMath0855.62092MaRDI QIDQ1920974

Tomáš Cipra

Publication date: 9 February 1997

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/32942

zbMATH Keywords

outlierstime seriesmissing observationsrisk\(M\)-estimationshrinkagerobust Kalman filtercredibility models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (2)

A Heavy-Tailed and Overdispersed Collective Risk Model ⋮ Exponential smoothing for irregular data.

Cites Work

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• Credibility theory and the Kalman filter
• Optimal collapsing of mixture distributions in robust recursive estimation
• Early warning
• Recursive credibility estimation
• Credibility theory for some evolutionary models
• Large claims in credibility
• Stochastische Modellierung in der Erfahrungstarifierung
• Empirical kalman-Credibility
• On practical implementation of robust kalman filtering
• Robust Statistics

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