| RBNS的线性预测模型 |
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| 引用本文： | 俞雪梨,吴贤毅.RBNS的线性预测模型[J].应用概率统计,2011,27(2). |
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| 作者姓名： | 俞雪梨 吴贤毅 |
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| 作者单位： | 1. 华东师范大学统计与精算学系,上海,200241;上海金融学院公共经济管理学院,上海,201209
2. 华东师范大学统计与精算学系,上海,200241 |
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| 基金项目： | 上海市哲学社会科学基金，国家自然科学基金 |
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| 摘 要： | 传统的准备金方法都是基于聚合数据的,聚合数据是个体数据的汇总,它们丢失了许多有用信息,影响了准备金预测的准确性.本文提出了一个基于个体数据的线性预测模型,该模型不需要对数据的矩的具体形式进行假设,更不需要对数据的分布进行假设,而只需假设个体索赔数据的前两阶矩存在,具有适用范围广,简单易操作等特点.在文章的最后,通过随机模拟把提出的方法与著名的链梯法进行了对比,模拟结果显示,本文提出的方法是行之有效的.
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| 关 键 词： | 准备金 RBNS 线性预测 链梯法 |
Linear Prediction Model for RBNS |
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| YU XUELI,WU XIANYI.Linear Prediction Model for RBNS[J].Chinese Journal of Applied Probability and Statisties,2011,27(2). |
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| Authors: | YU XUELI WU XIANYI |
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| Affiliation: | Yu Xueli1,2 Wu Xianyi1(1Department of Statistics and Actuarial Science,East China Normal University,Shanghai,200241)(2The School of Pubic Economics and Management,Shanghai Finance University,201209) |
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| Abstract: | The traditional claims reserving approaches are all based on the aggregated data and usually produceinaccurate predictions of the reserve because the aggregated data usually failed to use all the informationof the individual claims. A linear prediction model based on the individual claims is proposed in thispaper, in which only the second order moment of the data is required. This method is ?exible and simpleand hence easy to apply in reality. The proposed method is compared with the traditional chain ladde... |
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| Keywords: | Claims reserves RBNS linear prediction chain Ladder |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
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