On stochastic approximation and credibility

Zinoviy Landsman; Ehud Makov

doi:10.1080/03461230050131858

On stochastic approximation and credibility

Zinoviy Landsman, Ehud Makov

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. This methodology is defined and is shown to be related to a broad class of credibility formulae derived for the Exponential Dispersion Family (EDF). We further consider a Location Dispersion Family (LDF) which is rich enough and for which no simple credibility formula exists. For this case, a Generalized Sequential Credibility Formula is suggested and an optimal stepwise gain sequence is derived.

Original language	English
Pages (from-to)	15-31
Number of pages	17
Journal	Scandinavian Actuarial Journal
Volume	1999
Issue number	1
DOIs	https://doi.org/10.1080/03461230050131858
State	Published - 1 Jan 1999

Keywords

Location dispersion family
Optimal stepwise gain sequence
Sequential credibility
Stochastic approximation

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

Access to Document

10.1080/03461230050131858

Cite this

@article{f6ff5ab7343b4c7cb10707410183994c,

title = "On stochastic approximation and credibility",

abstract = "Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. This methodology is defined and is shown to be related to a broad class of credibility formulae derived for the Exponential Dispersion Family (EDF). We further consider a Location Dispersion Family (LDF) which is rich enough and for which no simple credibility formula exists. For this case, a Generalized Sequential Credibility Formula is suggested and an optimal stepwise gain sequence is derived.",

keywords = "Location dispersion family, Optimal stepwise gain sequence, Sequential credibility, Stochastic approximation",

author = "Zinoviy Landsman and Ehud Makov",

year = "1999",

month = jan,

day = "1",

doi = "10.1080/03461230050131858",

language = "English",

volume = "1999",

pages = "15--31",

journal = "Scandinavian Actuarial Journal",

issn = "0346-1238",

publisher = "Taylor and Francis Ltd.",

number = "1",

}

TY - JOUR

T1 - On stochastic approximation and credibility

AU - Landsman, Zinoviy

AU - Makov, Ehud

PY - 1999/1/1

Y1 - 1999/1/1

N2 - Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. This methodology is defined and is shown to be related to a broad class of credibility formulae derived for the Exponential Dispersion Family (EDF). We further consider a Location Dispersion Family (LDF) which is rich enough and for which no simple credibility formula exists. For this case, a Generalized Sequential Credibility Formula is suggested and an optimal stepwise gain sequence is derived.

AB - Stochastic approximation is a powerful tool for sequential estimation of zero points of a function. This methodology is defined and is shown to be related to a broad class of credibility formulae derived for the Exponential Dispersion Family (EDF). We further consider a Location Dispersion Family (LDF) which is rich enough and for which no simple credibility formula exists. For this case, a Generalized Sequential Credibility Formula is suggested and an optimal stepwise gain sequence is derived.

KW - Location dispersion family

KW - Optimal stepwise gain sequence

KW - Sequential credibility

KW - Stochastic approximation

UR - http://www.scopus.com/inward/record.url?scp=85011183891&partnerID=8YFLogxK

U2 - 10.1080/03461230050131858

DO - 10.1080/03461230050131858

M3 - Article

AN - SCOPUS:85011183891

SN - 0346-1238

VL - 1999

SP - 15

EP - 31

JO - Scandinavian Actuarial Journal

JF - Scandinavian Actuarial Journal

IS - 1

ER -

On stochastic approximation and credibility

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this