Invariantly recursive credibility estimation |
| |
Authors: | Bjørn Sundt |
| |
Affiliation: | 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 |
本文献已被 ScienceDirect 等数据库收录! |