Kalman Filtering for The Credibility Models with Dependence Induced by Common Effects

摘要：

　　A credibility model with dependence induced by common effects was studied in this paper.The recursive forecasts of future premiums were generated under Kalman framework.Finally, we find out the credibility premiums we obtained is identical to the one by means of the projection method.

关键词： Kalman filtering Common effects Dependence Credibility theory

作者: BAI Farong WU Lijun

作者单位: College of Mathematics and System Sciences,Xinjiang University,Urumuqi 830046,China

会议类型: 国际会议

会议名称: The 7th International Institute of Statistics & Management Engineering Symposium(IISMES2015) (第七届国际统计与管理工程学术研讨会)

会议地点: 山东 日照

会议语种:英文

页码: 448-455

在线出版日期: 2015-08-17（万方平台首次上网日期，不代表论文的发表时间）