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1.
在经典的信度保费模型中,得到的信度保费估计均是考虑的是纯保费,然而在保险实务中,保险公司收取的保费不可能是纯保费,必须具有正的安全负荷.在平衡指数损失函数下,研究了多合同的信度保费模型.利用正交投影方法,得到了未来保费的信度估计.最后对估计进行了数值模拟.  相似文献   

2.
提出了一种基于变结构协整理论的保费预测建模新方法,所建模型反映了保费和GDP之间的长期静态和短期动态波动的均衡关系.通过确定时间序列突变点,并利用突变点信息提高模型的预测精度,避免了传统的保费预测中经常存在的虚假回归问题.采用该方法对中国年度保费进行了预测分析,结果表明了该方法的有效性.  相似文献   

3.
期望效用保费定价方法是保费定价的重要方法之一.本文建立了期望效用保费原理的贝叶斯模型,定义了期望效用原理的风险保费,并给出了风险保费的信度估计.进而,研究了保费估计的统计性质.最后通过数值模拟的方法验证了风险保费估计的渐近正态性和收敛速度.  相似文献   

4.
在经典的信度理论中,信度保费是在净保费原理下得到的. 但是, 保险商业中, 保险公司要求制定的保费必须适用于某合适的保费原理以适应具体的保险商业的需要. 本文建立了指数保费原理下的完全经验厘定模型, 得到了风险保费的信度估计和经验Bayes 信度估计, 并讨论了结构参数的估计及其性质. 最后证明了多合同模型的经验Bayes 信度估计的渐近最优性  相似文献   

5.
李荣  张筑秋  叶义琴 《经济数学》2020,37(1):97-105
基于保险公司2010年1月—2019年3月的实际保单数据样本,分别运用广义线性模型中的泊松模型和伽玛模型测算出险频率和案均赔款,构建风险保费测算模型,对影响风险保费的因素进行定量研究及分析.结果表明:该方法能够构建多个变量与风险保费的数值关系,减少了信息的损失,得到的费率表可作为实际应用的参考.最后,通过该方法测算结果与市场定价的实例比较对方法的合理性与优越性进行了说明.  相似文献   

6.
基于保险公司2010年1月—2019年3月的实际保单数据样本,分别运用广义线性模型中的泊松模型和伽玛模型测算出险频率和案均赔款,构建风险保费测算模型,对影响风险保费的因素进行定量研究及分析.结果表明:该方法能够构建多个变量与风险保费的数值关系,减少了信息的损失,得到的费率表可作为实际应用的参考.最后,通过该方法测算结果与市场定价的实例比较对方法的合理性与优越性进行了说明.  相似文献   

7.
在系统梳理国内外非寿险产品费率厘定方法的基础上,详细介绍了GAMLSS模型,证明了在位置参数和尺度参数的预测中均引入随机效应的GAMLSS模型可更有效地解释纵向数据中个体间的异质性.最后将GAMLSS模型应用于一组纵向车辆保险数据,计算了先验保费、后验保费、后验风险保费和奖惩因子.实证结果表明,GAMLSS模型不仅可为非寿险产品的定价提供依据,而且使风险分类更加稳定、合理.  相似文献   

8.
本文比较了带干扰的两类不同风险模型.首先研究了在不同保费计算原理下各风险业务的相关性是如何影响保费率计算的,进而通过鞅方法推导出两类模型破产概率的Lundberg指数和Lundberg不等式,最后比较了在不同保费计算原理下两类模型的Lundberg指数的性质.  相似文献   

9.
在经典的信度保费模型中,得到的信度保费估计均是考虑的是纯保费,然而在保险实务中,保险公司收取的保费不可能是纯保费,必须具有正的安全负荷.在平衡指数损失函数下给出了具有通货膨胀因子的信度估计.结果表明,在考虑历史索赔数据的样本函数的情况下,当选取一个合适的权重,便可以得到下一期的最优信度保费估计.结论推广了仅在平方损失函数下得到的信度保费.  相似文献   

10.
调和保费--一个新的定价模型   总被引:2,自引:0,他引:2  
本文在经典的期望原理保费及风险调整保费的基础上建立一个调和保费的新的定价模型,并成功地引入了一个保险调和指数R.根据R的不同取值,我们可以将保险人的风险厌恶态度与被保险人的支付能力达成完美的结合.这种合理性使这个模型具有很重要的实用价值.  相似文献   

11.
The use of simulation methods for calculating the power values in the case of non‐normal errors is discussed. One and two‐way layouts are considered for the fixed effect model. The Erlangian and contaminated normal distribution are taken as examples of a non‐normal error distribution. The results obtained by these methods are given in tables 1 and 2 which indicate that for inference concerning means the power calculated under normal theory is only slightly affected by the non‐normality of the errors.  相似文献   

12.
Abstract Developing models to predict tree mortality using data from long‐term repeated measurement data sets can be difficult and challenging due to the nature of mortality as well as the effects of dependence on observations. Marginal (population‐averaged) generalized estimating equations (GEE) and random effects (subject‐specific) models offer two possible ways to overcome these effects. For this study, standard logistic, marginal logistic based on the GEE approach, and random logistic regression models were fitted and compared. In addition, four model evaluation statistics were calculated by means of K‐fold cross‐valuation. They include the mean prediction error, the mean absolute prediction error, the variance of prediction error, and the mean square error. Results from this study suggest that the random effects model produced the smallest evaluation statistics among the three models. Although marginal logistic regression accommodated for correlations between observations, it did not provide noticeable improvements of model performance compared to the standard logistic regression model that assumed impendence. This study indicates that the random effects model was able to increase the overall accuracy of mortality modeling. Moreover, it was able to ascertain correlation derived from the hierarchal data structure as well as serial correlation generated through repeated measurements.  相似文献   

13.
Abstract This paper examines the question of optimal harvesting time in a size‐heterogeneous farmed aquatic population, using a model reflecting the effect of population density on both overall mortality rate and individual growth. This analysis enables an optimal harvesting rule to be deduced. The results obtained are applied to shrimp culture in recirculation systems in Mexico. Numerical solutions are derived for different production scenarios. Assuming identical culture conditions, results are also obtained under the hypothesis of homogeneous population growth, the view traditionally taken in the relevant economic literature. The optimal harvesting times calculated tend to decrease with higher densities, although this rule fails under the size‐heterogeneous population model. In general, optimal harvesting times are overestimated when size‐homogeneity in the culture is assumed. Our analysis reveals that management predictions are significantly mistaken if the size‐heterogeneity phenomenon is not taken into account.  相似文献   

14.
A new mathematical model included an exposed compartment is established in consideration of incubation period of schistosoma in human body. The basic reproduction number is calculated to illustrate the threshold of disease outbreak. The existence of the disease free equilibrium and the endemic equilibrium are proved. Studies about stability behaviors of the model are exploited. Moreover, control measure assessments are investigated in order to seek out effective control interventions for anti‐schistosomiasis. Then, the corresponding optimal control problem according to the model is presented and solved. Theoretical analyses and numerical simulations induce several prevention and control strategies for anti‐schistosomiasis. At last, a discussion is provided about our results and further work. Copyright © 2017 John Wiley & Sons, Ltd.  相似文献   

15.
在无套利框架的基础上,讨论基于个体公平原则下的寿险产品定价问题,即运用倒向随机微分方程理论,将投保人和保险人置于同一系统中进行考虑:首先,根据双方的随机投资决策目标分别建立无套利寿险定价模型和动态资产份额定价模型,得出两个特殊线性倒向随机微分方程的显式解;然后,建立基于个体公平原则的寿险定价模型,从投保人和保险人双方的角度对寿险产品进行公平定价,得出了从供需双方考虑的投资回报定价公式;最后,利用所建立的模型进行案例分析,计算出基于个体公平原则的保费及保险公司的投资策略.该寿险产品定价模型不仅考虑了保险人的意愿,还同时考虑了投保人的实际情况,因此,按此定价理念开发出的保险产品,不仅可以提高产品研发的成功率,而且使得研发出的新产品更能在竞争激烈的保险市场中站稳脚步.  相似文献   

16.
This study examined Advanced Placement Calculus students' mathematical understanding of rate of change, after studying four years of college preparatory (integrated or single‐subject) mathematics. Students completed the Precalculus Concept Assessment (PCA) and two open‐ended tasks with questions about rates of change. After adjusting for prior achievement with the Iowa Algebra Aptitude Test, students from these two paths performed comparably (F = 3.54, p = .063) on the PCA. Student errors on the three instruments revealed a lack of understanding of the interpretation or meaning of rate of change regardless of the curricular path. Students successfully calculated the rate of change of linear functions; however, when the function was not linear, students struggled to calculate it, model it on a graph, or interpret it in a real‐world context.  相似文献   

17.
In this paper, the model of an electromechanical system, which is a system of linear differential equations, is studied. Haar wavelet collocation method (HWCM) is applied for finding the approximate solution of the model. HWCM reduces the system of the model into a matrix‐vector form that contains the unknown Haar coefficients, and these coefficients are easily calculated. To demonstrate the validity and applicability of HWCM, numerical solutions of the system for different parameter values in the system are presented. The obtained results demonstrate the efficiency and accuracy of the method. All of the computations are performed via a program written in Mathematica.  相似文献   

18.
Jianxi Luo 《Complexity》2013,18(5):37-47
To compare the relative power of individual sectors to pull the entire economy, i.e., the power‐of‐pull, this article utilizes a complex system perspective to model the economy as a network of economic sectors connected by trade flows. A sector's power‐of‐pull is defined and calculated as a function of the powers‐of‐pull of those sectors that it pulls through network linkages, and their powers‐of‐pull are, in turn, functions of those sectors that they further pull ad infinitum throughout the network. Theoretically, boosting activities in sectors with a higher power‐of‐pull will generate greater network effects while stimulating the entire economy, especially during recessions. This method is applied to the United States in the years before and after the 2008 financial crisis. The results provide a fresh look at the U.S. government's economic revival policies and reveal fundamental changes in the economic structure of the U.S. This work advocates a network‐based analysis of the economy as a complex system. © 2013 Wiley Periodicals, Inc. Complexity 18: 37–47, 2013  相似文献   

19.
In this article, the fractional variational iteration method is employed for computing the approximate analytical solutions of degenerate parabolic equations with fractional time derivative. The time‐fractional derivatives are described by the use of a new approach, the so‐called Jumarie modified Riemann–Liouville derivative, instead in the sense of Caputo. The approximate solutions of our model problem are calculated in the form of convergent series with easily computable components. Moreover, the numerical solution is compared with the exact solution and the quantitative estimate of accuracy is obtained. The results of the study reveal that the proposed method with modified fractional Riemann–Liouville derivatives is efficient, accurate, and convenient for solving the fractional partial differential equations in multi‐dimensional spaces without using any linearization, perturbation or restrictive assumptions. Copyright © 2011 John Wiley & Sons, Ltd.  相似文献   

20.
Abstract Population features inferred from single‐species, age‐structured models are compared to those inferred from a multispecies, age‐structured model that includes predator‐prey interactions among three commercially harvested fish species—walleye pollock, Atka mackerel, and Pacific cod—on the Aleutian Shelf, Alaska. The multispecies framework treats the single‐species models and data as a special case of the multispecies model and data. The same data from fisheries and surveys are used to estimate model parameters for both single‐species and multispecies configurations of the model. Additionally, data from stomach samples and predator rations are used to estimate the parameters of the multispecies model. One form of the feeding functional response, predator pre‐emption, was selected using AIC from seven alternative models for how the predation rate changes with the densities of prey and possibly other predators. Differences in estimated population dynamics and productivity between the multispecies and single‐species models were observed. The multispecies model estimated lower mackerel population sizes from 1964–2003 than the single‐species model, while the spawning biomass of pollock was estimated to have declined more than three times faster since 1964 by the multispecies model. The variances around the estimates of spawning biomass were smaller for mackerel and larger for pollock in the multispecies model compared to the single‐species model.  相似文献   

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