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Credibility theory and filter theory in discrete and continuous time

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  • Maier, Ramona
  • Merz, Michael
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    Abstract

    It is well known that credibility theory in discrete time is closely related to the discrete technique of Kalman filtering. In this paper we show the close relationship between credibility theory and filter theory in discrete and continuous time as well as between credibility theory in a discrete and continuous time setting. --

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    Bibliographic Info

    Paper provided by University of Tübingen, School of Business and Economics in its series Tübinger Diskussionsbeiträge with number 318.

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    Date of creation: 2008
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    Handle: RePEc:zbw:tuedps:318

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