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Early warning. (English) Zbl 0656.62108
The author describes a Bayesian approach for forecasting in general insurance. The techniques are specializations of the dynamic linear model described by P. J. Harrison and C. F. Stevens [J. R. Stat. Soc., Ser. B 38, 205-247 (1976; Zbl 0349.62062)]. The system is applied in a Norwegian insurance company and ends with an example of a Houseowners’ comprehensive insurance portfolio. The paper is part of the author’s doctoral dissertation.
Reviewer: A.Reich

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
62F15 Bayesian inference
62M20 Inference from stochastic processes and prediction
Citations:
Zbl 0349.62062
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References:
[1] Anderson T. W., The statistical analysis of time series (1973)
[2] Campbell M., Meddelande (1983)
[3] Harrison P. J., Journal of the Royal Statistical Society 38 (1976)
[4] Jazwinski A. H., Stochastic processes and filtering theory (1970) · Zbl 0203.50101
[5] Jewell W. S., Actuarial Research Clearing House 4 (1973)
[6] Neuhaus W., Actuarial Research Report 3 (1986)
[7] Norberg R., Scandinavian Actuarial Journal (1980)
[8] Norberg R., Insurance 1 (1982) · Zbl 0714.62099
[9] Norberg R., Scandinavian Actuarial Journal (1986)
[10] Mehra R. K., Report RM-75-64 (1975)
[11] DOI: 10.2143/AST.15.1.2015030
[12] Zellner A., An introduction to Bayesian inference in econometrics (1971) · Zbl 0246.62098
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.