非寿险分类费率模型的比较研究和实证分析

非寿险分类费率的厘定通常采用的方法有单项分析法、最小偏差法和广义线性模型,特别是后面两种方法在非寿险实务中应用十分广泛,精算文献中对这两种方法的理论和应用研究也较多,但对二者的比较研究较少。本文首先对最小偏差模型和广义线性模型进行了简要介绍,之后对这两种分类费率模型进行了系统的比较研究,总结了它们各自的优缺点以及二者之间的一些等价关系,最后通过一组实际的汽车保险数据讨论了它们的应用。

Comparative Study of Non-Life Classification Ratemaking Models and Their Application

In non-life insurance,one-way analysis,minimum bias models and generalized linear models are usually used to calculate relativities.In particular,minimum bias models and generalized linear models are widely applied in the practice.The research about them can be found in various actuarial literatures.However,less attention are paid to the comparisons of the two methods.This paper systematically compares their respective advantages and disadvantages and also summarizes some equivalence relations between the t...