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The Linear Markov Property in Credibility Theory

Published online by Cambridge University Press:  29 August 2014

Thomas Witting
Thomas Witting*
Affiliation:
ETH Zürich
*
ETH Zürich, Mathematikdepartement HG G 36.1, Rämistr. 101, CH-8092 Zürich.
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Abstract

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We study the linear Markov property, i.e. the possibility of basing the credibility estimator on data of the most recent time period without loss of accuracy. Necessary and sufficient conditions are derived generally. The meaning of the linear Markov property is also discussed in different experience rating and loss reserving models.

Keywords

Linear Markov propertylinear sufficiencycredibility
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 17 , Issue 1 , April 1987 , pp. 71 - 84
Copyright
Copyright © International Actuarial Association 1987

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