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Empirical Kalman-credibility. (English) Zbl 0817.62086
Summary: In a dynamic linear model the credibility estimator is given by the famous Kalman-filter algorithm. By inserting adequate parameter estimators one gets an empirical credibility estimator. Asymptotic optimality of the empirical credibility estimator is investigated and practicable parameter estimators are given for the most general situation.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
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