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Credibility theory and filter theory in discrete and continuous time

  • Maier, Ramona
  • Merz, Michael
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    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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    File URL: http://econstor.eu/bitstream/10419/40307/1/600762688.pdf
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    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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    Web page: http://www.uni-tuebingen.de/en/faculties/wirtschafts-und-sozialwissenschaftliche-fakultaet/faecher/wirtschaftswissenschaft.html
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    1. Ronald McKinnon & Gunther Schnabl, 2003. "China: A Stabilizing or Deflationary Influence in East Asia? THe Problem of Conflict Virtue," Working Papers 232003, Hong Kong Institute for Monetary Research.
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    12. Schnabl, Gunther, 2003. "De jure versus de facto: Exchange rate stabilization in Central and Eastern Europe," Tübinger Diskussionsbeiträge 269, University of Tübingen, School of Business and Economics.
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    24. repec:ebl:ecbull:v:4:y:2005:i:12:p:1-7 is not listed on IDEAS
    25. Zaby, Alexandra K., 2005. "Losing the lead: Patents and the disclosure requirement," Tübinger Diskussionsbeiträge 296, University of Tübingen, School of Business and Economics.
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    28. Licht, Georg & Stadler, Manfred, 2003. "Auswirkungen öffentlicher Forschungsförderung auf die private F&E-Tätigkeit: Eine mikroökonomische Evaluation," Tübinger Diskussionsbeiträge 256, University of Tübingen, School of Business and Economics.
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