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Robust Credibility with the Kalman Filter
Credibility with the Kalman Filter In the paper, the authors implement the empirical version of a robust Kalman ... sensitivity to large claims with that of other credibility estimators in the literature. Credibility theory;Property ...- Authors: José Garrido, Rosario Romera
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods