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Credibility theory and filter theory in discrete and continuous time

Authors :
Maier, Ramona
Merz, Michael
Publication Year :
2008

Abstract

It is well known that credibility theory in discrete time is closely related to the discrete technique of Kalman filtering. In this paper we show the close relationship between credibility theory and filter theory in discrete and continuous time as well as between credibility theory in a discrete and continuous time setting.

Details

Database :
OpenAIRE
Accession number :
edsair.od.......645..e7b53c031d01e5afb836cc2a4e841439