On stochastic approximation and credibility

Zinoviy Landsman, Udi E. Markov

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)15-31
Number of pages17
JournalScandinavian Actuarial Journal
Volume1999
Issue number1
DOIs
StatePublished - 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

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