Credibility Theory and Filter Theory in Discrete and Continuous Time

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Dokumentart: WorkingPaper
Date: 2008
Source: Tübinger Diskussionsbeiträge der Wirtschaftswissenschaftlichen Fakultät ; 318
Language: English
Faculty: 6 Wirtschafts- und Sozialwissenschaftliche Fakultät
Department: Wirtschaftswissenschaften
DDC Classifikation: 330 - Economics
Keywords: Wirtschaft
Other Keywords: Kredibilitätstheorie
Credibility theory , filter theory , discrete time , continuous time
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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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