| GENERALIZED PARETO DISTRIBUTION FIT TO MEDICAL INSURANCE CLAIMS DATA |
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| 引用本文： | Ouyang Zisheng Xie Chi. GENERALIZED PARETO DISTRIBUTION FIT TO MEDICAL INSURANCE CLAIMS DATA[J]. 高校应用数学学报(英文版), 2006, 21(1): 21-29. DOI: 10.1007/s11766-996-0018-z |
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| 作者姓名： | Ouyang Zisheng Xie Chi |
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| 作者单位： | [1]College of Business Administration, Hunan University, Changsha 410082,China. [2]Department of Information, Hunan Business College, Changsha 410205,China. |
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| 基金项目： | Supported by Society Science Foundation of China （04BTJ010） and Hunan Provincial Nature Science Foundation of China. |
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| 摘 要： | How to choose an optimal threshold is a key problem in the generalized Pareto distribution （GPD） model. This paper attains the exact threshold by testing for GPD,and shows that GPD model allows the actuary to easily estimate high quantiles and the probable maximum loss from the medical insurance claims data.
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| 关 键 词： | 医疗保险 索赔方法 最大损失 Pareto分布 |
| 收稿时间： | 2005-04-29 |
Generalized pareto distribution fit to medical insurance claims data |
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| Ouyang Zisheng,Xie Chi. Generalized pareto distribution fit to medical insurance claims data[J]. Applied Mathematics A Journal of Chinese Universities, 2006, 21(1): 21-29. DOI: 10.1007/s11766-996-0018-z |
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| Authors: | Ouyang Zisheng Xie Chi |
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| Affiliation: | (1) College of Business Administration, Hunan University, 410082 Changsha, China;(2) Department of Information, Hunan Business College, 410205 Changsha, China |
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| Abstract: | . How to choose an optimal threshold is a key problem in the generalized Pareto distribution (GPD) model.This paper attains the exact threshold by testing for GPD,and shows that GPD model allows the actuary to easily estimate high quantiles and the probable maximum loss from the medical insurance claims data. |
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| Keywords: | generalized Pareto distribution high quantile probable maximum loss. |
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