Login | Register

Robust credibility and Kalman filtering

Title:

Robust credibility and Kalman filtering

Tam, Mike (1998) Robust credibility and Kalman filtering. Masters thesis, Concordia University.

[thumbnail of MQ39075.pdf]
Preview
Text (application/pdf)
MQ39075.pdf
2MB

Abstract

Credibility theory is an experience rating technique in insurance used to combine an estimate of the expected claims of a contract with the estimate of the expected claims of a portfolio of similar contracts. However, the credibility estimate remains sensitive to large (outlying) claims. In this thesis, robustification of some classical credibility models are presented via robust Kalman filtering. Credibility theory has been shown to be a special case of the Kalman filter (De Jong and Zehnwirth, 1983), thus existing research on the robustification of the Kalman filter, for example, Cipra and Romera (1991), can be applied to robustifying Kalman filter credibility models (Kremer, 1994). After describing in some detail the classical and robust models of credibility, we present an implementation of a robust Kalman filter credibility model and apply it to Hachemeister's dataset (Hachemeister, 1975).

Divisions:Concordia University > Faculty of Arts and Science > Mathematics and Statistics
Item Type:Thesis (Masters)
Authors:Tam, Mike
Pagination:viii, 85 leaves ; 29 cm.
Institution:Concordia University
Degree Name:M.Sc.
Program:Mathematics
Date:1998
Thesis Supervisor(s):Garrido, Jose
Identification Number:QA 276 T36 1998
ID Code:666
Deposited By: Concordia University Library
Deposited On:27 Aug 2009 17:13
Last Modified:13 Jul 2020 19:47
Related URLs:
All items in Spectrum are protected by copyright, with all rights reserved. The use of items is governed by Spectrum's terms of access.

Repository Staff Only: item control page

Downloads per month over past year

Research related to the current document (at the CORE website)
- Research related to the current document (at the CORE website)
Back to top Back to top