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On Stochastic Approximation and Credibility

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  • Zinoviy Landsman
  • Udi Markov

Abstract

Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. This methodology is defined and is shown to be related to a broad class of credibility formulae derived for the Exponential Dispersion Family (EDF). We further consider a Location Dispersion Family (LDF) which is rich enough and for which no simple credibility formula exists. For this case, a Generalized Sequential Credibility Formula is suggested and an optimal stepwise gain sequence is derived.

Suggested Citation

  • Zinoviy Landsman & Udi Markov, 1999. "On Stochastic Approximation and Credibility," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 1999(1), pages 15-31.
    • Handle: RePEc:taf:sactxx:v:1999:y:1999:i:1:p:15-31
    DOI: 10.1080/03461230050131858
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