State Space Models and the Kalman-Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing
This paper gives a detailed overview of the current state of research in relation to the use of state space models and the Kalman-filter in the field of stochastic claims reserving. Most of these state space representations are matrix-based, which complicates their applications. Therefore, to facili...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2017-05-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/5/2/30 |