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Robust Credibility with the Kalman Filter
Robust Credibility with the Kalman Filter In the paper, the authors implement the empirical version of a robust Kalman filter credibility estimator with a data set, and compare its sensitivity to ...- Authors: José Garrido, Rosario Romera
- Date: Jan 1995
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Fourier inversion formulas in option pricing and insurance
Fourier inversion formulas in option pricing and insurance Several authors have used Fourier inversion to compute prices of puts and calls, some using Parseval’s theorem. The expected value of ...- Authors: Daniel Dufresne, José Garrido, MANUEL MORALES
- Date: Jan 2008
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods
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Credibility Theory for Generalized Linear and Mixed Models
Credibility Theory for Generalized Linear and Mixed Models This paper derives limited fluctuations credibility results for the Generalized Linear Model GLM and the extended case of generalized ...- Authors: José Garrido, JUN ZHOU
- Date: Jan 2007
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Actuarial Profession>Academic partnerships; Modeling & Statistical Methods
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Ruin Modeling for Compound Nonstationary Poisson Processes with Periodic Claim Intensity Rates
Ruin Modeling for Compound Nonstationary Poisson Processes with Periodic Claim Intensity Rates In this paper some general properties of compound nonstationary Poisson processes are discussed as ...- Authors: José Garrido, Stefanka Chukova, Boyan Dimitrov
- Date: Jan 1994
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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Renewal Processes Generated by Distributions with Periodic Failure Rates
Renewal Processes Generated by Distributions with Periodic Failure Rates Two renewal processes, known in reliability maintenance as minimal repair and replacement policy, are introduced in this ...- Authors: José Garrido, Stefanka Chukova, Boyan Dimitrov
- Date: Jan 1993
- Competency: Technical Skills & Analytical Problem Solving
- Publication Name: Actuarial Research Clearing House
- Topics: Modeling & Statistical Methods
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On the Expected Discounted Penalty Function for Levy Risk Processes
On the Expected Discounted Penalty Function for Levy Risk Processes In this article the authors work out the expected discounted penalty function for Levy processes. Unlike the classical ...- Authors: José Garrido, Manuel Morales
- Date: Jan 2006
- Competency: Technical Skills & Analytical Problem Solving
- Topics: Modeling & Statistical Methods