Bayesian analysis of loss reserving using dynamic models with generalized beta distribution

A Bayesian approach is presented in order to model long tail loss reserving data using the generalized beta distribution of the second kind (GB2) with dynamic mean functions and mixture model representation. The proposed GB2 distribution provides a flexible probability density function, which nests various distributions with light and heavy tails, to facilitate accurate loss reserving in insurance applications. Extending the mean functions to include the state space and threshold models provides a dynamic approach to allow for irregular claims behaviors and legislative change which may occur during the claims settlement period. The mixture of GB2 distributions is proposed as a mean of modeling the unobserved heterogeneity which arises from the incidence of very large claims in the loss reserving data. It is shown through both simulation study and forecasting that model parameters are estimated with high accuracy.     

基于区间二型梯形模糊集的应急物资储备动态协同决策模型

重大灾害下应急物资储备决策是阻止突发灾难蔓延的有效手段之一。针对救灾信息具备不确定性与复杂性特点,构建基于区间二型梯形模糊集的应急物资储备动态协同决策模型,并给出应急物资储备策略。利用区间二型模糊集理论的决策方案并结合比例分析法(COPRAS),构建常态环境下应急物资供应商选择的群决策模型,解决不相容群决策属性之间的冲突问题;进而,充分考虑“救灾阶段性动态时间因素”对储备决策的影响,构建动态救灾环境下应急物资储备结构模糊优化模型,实现常态决策与非常态应急决策之间的动态协同;最后,以2012年云南丽江“6.14”突发特大山洪灾害为实例进行数值分析,验证该动态协同决策模型的合理性与可行性,能有效解决动态救灾环境下应急物资储备结构优化问题。     

Nonlinear reserving and multiple contract modifications in life insurance

Life insurance cash flows become reserve dependent when contract conditions are modified during the contract term on condition that actuarial equivalence is maintained. As a result, insurance cash flows and prospective reserves depend on each other in a circular way, and it is a non-trivial problem to solve that circularity and make cash flows and prospective reserves well-defined. In Markovian models, the (stochastic) Thiele equation and the Cantelli Theorem are the standard tools for solving the circularity issue and for maintaining actuarial equivalence. This paper expands the stochastic Thiele equation and the Cantelli Theorem to non-Markovian frameworks and presents a recursive scheme for the calculation of multiple contract modifications.     

应用模糊综合评判方法优选非均质油藏调剖井和层

通过注水保持油层压力的方法开发非均质油藏,不可避免会造成油井含水或部分油井水淹.注入水窜入油井时,不管低渗透层是否受到开发,大部分注入水进入到高渗透层,因而使低渗透层在开发过程中采油速度很慢,或是基本未投入生产.为了降低产水量,保持或提高采油量,必须对已开发的非均质油藏实施相应的堵水调剖措施,防止注入水沿高渗透带水锥突进到油井,影响水驱采收率.本文建立了应用模糊综合评判方法优选非均质油藏调剖井和层的数学模型,通过实例分析表明,运用综合评判方法优选调剖井和层是一种客观有效的方法,该评价方法计算方便,易于操作和推广.     

折现的未决赔款准备金估计的随机逼近

凸序意义下的随机界是估计具有相依性随机变量和分布的良好工具.在考虑货币时间价值的基础上,通过随机上下界的两种不同形式的凸组合对未决赔款准备金的估计进行逼近,并通过矩匹配法,给出了最优权数的计算公式.通过一个实例对所述方法进行验证.     

解除广义Doob算子中向量可和限制的轨道方法

本文用轨道方法,讨论Ｄｏｏｂ及广义Ｄｏｏｂ过程预解算子中向量可和限制的解除,给出了相应过程轨道的一种新的（基于ｆＮ变换）、明晰的（直接由不可和向量出发构造）极限结构     

Energy and reserve dispatch with distributionally robust joint chance constraints

We develop a two-stage stochastic program for energy and reserve dispatch of a joint power and gas system with a high penetration of renewables. Data-driven distributionally robust chance constraints ensure that there is no load shedding and renewable spillage with high probability. We solve this problem efficiently using conditional value-at-risk approximations and linear decision rules. Out-of-sample experiments show that this model dominates the corresponding stochastic program without chance constraints that models the effects of load shedding and renewable spillage explicitly.     

南矶山自然保护区种子植物区系

南矶山自然保护区位于江西省鄱阳湖西南岸,赣江北、中、南支所在的新三角洲前缘,属新建县南矶乡行政管辖,是以保护湿地生态系统和冬候鸟及其栖息地为主的自然保护区,116°10′33″~116°25′05″E,28°52′05″~29°06′50″N,面积3.33万hm2。保护区有种子植物443种,隶属于304属,115科,其中蕨类植物11科11属12种,裸子植物5科10属11种;被子植物99科283属420种(双子叶植物80科215属317种;单子叶植物19科68属103种)。南矶山自然保护区种子植物科属种的区系地理成分复杂多样。科的分布区类型以热带亚热带温带分布占优势(共54科,占总科数的51.9%),其次是世界广布类型(共31科,占29.6%)。属的分布区类型温带成分略高于热带成分,R/T值为1.06,反映出该保护区植物区系具有明显的南北植物汇合的过渡性质。湿地植被中的主要植物群落建群种多为世界广布种。草本植物发育,特有属种匮乏。南矶山自然保护区种子植物区系中各科所含属种差异较大。大科占总科数比例较小,但含有较多的属种,小科占的比例较大,但所含属种较少,对属的组成而言,寡种属、单种属所占的比例占有绝对优势,达到74.3%以上。     

基于藤Copula的GAMLSS模型与非寿险准备金评估

在假设各个业务线的增量已决赔款服从伽玛分布、逆高斯分布和对数正态分布的基础上,建立了各个业务线增量已决赔款的GAMLSS模型,并将此模型应用于一组具有明显异方差的车险数据,拟合效果优于均值回归模型.另外,在多个业务线的准备金估计中,不同业务线之间的相依性通过藤Copula函数来描述.用D藤Copula描述相依关系的GAMLSS模型对准备金的评估结果既优于独立假设下的GAMLSS模型和链梯法对准备金的评估结果,同时还刻画了不同业务线之间的尾部相依性.     

基于两类型灾害事件考虑的赈灾物资储备

赈灾物资的储备,既要符合物资的科学储存规律、又要满足物资储备的经济规律.在建立赈灾物资储备一般模型后,按照重复灾害事件和未遂灾害事件两类灾害事件的理论之说,对模型进行修改完善,分别构建未遂灾害事件的赈灾物资储备模型以及重复灾害事件的赈灾物资储备模型.通过实例分析,验证了所建模型的合理性和可行性.