Many of my papers and publications are on the topic of credibility theory and its related field, Kalman filtering. Credibility theory was the subject of my thesis and doctoral dissertation, and it is an area of continued interest for me.

In theoretical work, my current ambition is to establish whether the choice of parameters of a credibility estimator can fruitfully be defined as a statistical decision problem in the spirit of Wald. Some work has been done along these lines by Bühlmann (1976), Dijkstra (1990) and myself (1988). By embedding the problem of parameter choice into the framework of decision theory one could hope to free oneself from the reliance on one, purportedly "true" model, as well as the purely Bayesian approach. Wald's decision theory neatly encapsulates the situation of the practicing actuary, who must make daily decisions under a great deal of uncertainty about the "true state of nature".

In practical work, claim reserving is my main area of interest. Estimation of outstanding claims is a major area where credibility models can be, and are being, applied in practice. A set of lecture notes on outstanding claim estimation is currently under revision.