Hachemeister's Bayesian regression model revisited

Hachemeister's Bayesian regression model revisited

Hachemeister's (1975) regression model is discussed from a number of viewpoints including credibility theory, Gauss-Markov theory and the Kalman filter. The last formulation facilitates recursive premium formulae including forecast errors. Recursive estimation of structural parameters is also b...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of econometrics 1983-09, Vol.23 (1), p.119-129
1. Verfasser: Zehnwirth, Ben
Format: Artikel
Sprache:eng
Schlagworte:
Credibility
Econometrics
Inflation
Insurance premiums
Insurance rates
Mathematical models
Property & casualty insurance
Regression analysis
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Hachemeister's (1975) regression model is discussed from a number of viewpoints including credibility theory, Gauss-Markov theory and the Kalman filter. The last formulation facilitates recursive premium formulae including forecast errors. Recursive estimation of structural parameters is also briefly mentioned and an illustration involving a data set is presented. The paper basically serves to unify a number of recently developed ideas rather than present new results.
ISSN:0304-4076
1872-6895
DOI:10.1016/0304-4076(83)90079-9