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Author
Jasiulewicz Helena (Uniwersytet Przyrodniczy we Wrocławiu)
Title
Przestrzeń stanów i filtr Kalmana w teorii ubezpieczeń
Source
Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa, 2013, nr 31, s. 101-116, rys., tab., bibliogr. 29 poz.
Issue title
Zagadnienia aktuarialne : teoria i praktyka
Keyword
Modele liniowe, Filtry Kalmana, Ubezpieczenia
Linear models, Kalman filters, Insurances
Note
streszcz., summ.
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. (abstrakt oryginalny)

In the paper we give an exposition of a flexible tool serving to determine of optimal estimators and predictors, which the Kalman filter is. We focus the attention on the classical Kalman algorithm connected with a linear space of spaces disrupted by a gaussian noise. Next we present an application of Kalman filter to optimal forecasting of a future claims reserving. We give an example which points out the merit of Kalman filter in comparison with traditional technique of a type chain-ladder to determine of claims reserving.(original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
Bibliography
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ISSN
1232-4671
Language
pol
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