| 未决赔款准备金评估的随机性Munich链梯法 |
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| 引用本文： | 张连增,段白鸽.未决赔款准备金评估的随机性Munich链梯法[J].数理统计与管理,2012,31(5):880-897. |
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| 作者姓名： | 张连增 段白鸽 |
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| 作者单位： | 南开大学经济学院风险管理与保险学系,天津,300071 |
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| 基金项目： | 教育部重大项目“金融信用风险的量化研究”(309009)资助;中央高校基本科研业务费专项资金“金融工程与精算学中的定量风险管理统计模型与方法”(NKzXTD1101)资助 |
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| 摘 要： | 精算实务界通常采用链梯法等确定性方法评估未决赔款准备金,这些评估方法存在一定缺陷,一方面不能有效考虑保险公司历史数据中所包含的已决赔款和已报案赔款数据信息,另一方面只能得到未决赔款准备金的均值估计,不能度量不确定性。为了克服这些缺陷,本文结合Mack模型假设和非参数Bootstrap重抽样方法,提出了未决赔款准备金评估的随机性Munich链梯法,并应用R软件对精算实务中的实例给出了数值分析。
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| 关 键 词： | 随机性Munich链梯法 Mack模型 Bootstrap方法 预测均方误差 预测分布 |
Stochastic Munich Chain Ladder Method in Outstanding Claims Reserving |
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| ZHANG Lian-zeng,DUAN Bai-ge.Stochastic Munich Chain Ladder Method in Outstanding Claims Reserving[J].Application of Statistics and Management,2012,31(5):880-897. |
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| Authors: | ZHANG Lian-zeng DUAN Bai-ge |
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| Institution: | (Department of Risk Management and Insurance,School of Economics, Nankai University,Tianjin 300071,China) |
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| Abstract: | The chain ladder method and other deterministic methods are commonly used in outstanding claims reserving in actuarial practice.These assessment methods have some shortcomings.On the one hand,they do not effectively consider the information between the paid payments and incurred payments included in the historical data of insurance company.On the other hand,from these methods one can only obtain the mean estimation of claims reserves,but one cannot obtain the uncertainty measure of the reserves.In order to overcome these shortcomings,in combination with the assumptions of Mack model and non-parametric Bootstrap re-sampling method,the paper proposes a stochastic Munich chain ladder method in outstanding claims reserving,and further provides a numerical analysis with software R as an illustrations in actuarial practice. |
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| Keywords: | stochastic Munich chain ladder method Mack model Bootstrap method mean square error of prediction predictive distribution |
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