| 折现的未决赔款准备金估计的随机逼近 |
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| 引用本文： | 卢志义,刘乐平.折现的未决赔款准备金估计的随机逼近[J].数学的实践与认识,2010,40(6). |
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| 作者姓名： | 卢志义 刘乐平 |
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| 作者单位： | 天津财经大学,统计学院,天津,300222 |
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| 基金项目： | 天津市2005年度社科研究规划项目(TJ05-TJ001); 中国人民大学应用统计科学研究中心重大项目(05JJD910152) |
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| 摘 要： | 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.
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| 关 键 词： | 未决赔款准备金 广义线性模型 同单调 凸序 随机逼近 |
Stochastic Approximation for Discounted Outstanding Claims Reserve |
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| LU Zhi-Yi,LIU Le-ping.Stochastic Approximation for Discounted Outstanding Claims Reserve[J].Mathematics in Practice and Theory,2010,40(6). |
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| Authors: | LU Zhi-Yi LIU Le-ping |
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| Institution: | LU Zhi-Yi,LIU Le-ping (School of Statistics,TianJin University of Finance , Economics,TianJin 300222,China) |
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| Abstract: | Stochastic bound in the sense of convex order is a effective technique in estimating the distribution of the sum of random variables with dependencies among them.Two types of convex combination of the stochastic bounds are proposed to approximate the estimate of outstanding claims reserve,while the discount factor is involved.The formulas for the optimal weight are obtained by moment-matching technique.An example is shown to illustrate the methods. |
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| Keywords: | outstanding claims reserve generalized linear models comonotonicity convex order stochastic approximation |
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