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用于赔款金额建模的观测驱动状态空间模型AI 解读

State-space models are popular models in econometrics. Recently, these models have gained some popularity in the actuarial literature. The best known state-space models are of Kalman-filter type. These models are so-called parameter-driven because the observations do not impact the state-space dynamics. A second less well-known class of state-space models are so-called observation-driven state-space models where the state-space dynamics is also impacted by the actual…

面板数据观测驱动状态空间计数模型的分类AI 解读

State-space models are widely used in many applications. In the domain of count data, one such example is the model proposed by Harvey and Fernandes (1989). Unlike many of its parameter-driven alternatives, this model is observation-driven, leading to closed-form expressions for the predictive density. In this paper, we demonstrate the need to extend the model of Harvey and Fernandes (1989) by showing that their model is not variance stationary. Our extension can accommodate…