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Przestrzeń stanów i filtr Kalmana w teorii ubezpieczeń

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  • Helena Jasiulewicz

    (Uniwersytet Przyrodniczy we Wrocławiu)

Abstract

W pracy przedstawiono elastyczne narzędzie służące do wyznaczania optymalnych estymatorów i predyktorów, jakim jest filtr Kalmana. Skupiono się na klasycznym algorytmie Kalmana związanym z liniową przestrzenią stanów zakłócanych szumem gaussowskim. Następnie przedstawiono zastosowanie filtru Kalmana do optymalnego prognozowania przyszłych rezerw szkodowych. Podano przykład wskazujący zalety filtru Kalmana w porównaniu z tradycyjnymi technikami typu chain-ladder wyznaczania rezerw szkodowych.

Suggested Citation

  • Helena Jasiulewicz, 2013. "Przestrzeń stanów i filtr Kalmana w teorii ubezpieczeń," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 31, pages 101-116.
    • Handle: RePEc:sgh:annals:i:31:y:2013:p:101-116
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    References listed on IDEAS

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