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Invariantly recursive credibility estimation |
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| Authors: | Bjørn Sundt |
| Institution: | University of Oslo, Norway and Eidgenössische Technische Hochschule, Zürich, Switzerland |
| Abstract: | Necessary and sufficient conditions are given for recursivity of credibility estimators to be invariant against changes in term-length. A stationary invariant risk process is analysed, and a concept of asymptotic efficiency is developed. |
| Keywords: | Credibility estimation Linear recursions Invariance Asymptotic efficiency Parameter estimation |
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