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Dynamic credibility with outliers and missing observations. (English) Zbl 0855.62092
Summary: In actuarial practice the credibility models must face the problem of outliers and missing observations. If using the \(M\)-estimation principle from robust statistics in combination with Kalman filtering one obtains a solution of this problem that is acceptable in the numerical framework of the practical actuarial credibility. The credibility models are classified as static and dynamic in this paper and shrinkage is used for the final ratemaking.

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