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| 基于变结构协整理论的保费预测模型 | |
| 引用本文： | 陆秋君,陈玲,施锡铨.基于变结构协整理论的保费预测模型[J].数学的实践与认识,2011,41(3). |
| 作者姓名： | 陆秋君 陈玲 施锡铨 |
| 作者单位： | 1. 上海理工大学,理学院,上海,200093;上海财经大学,金融学院,上海,200433 2. 上海理工大学,理学院,上海,200093 3. 上海财经大学,金融学院,上海,200433 |
| 摘 要： | 提出了一种基于变结构协整理论的保费预测建模新方法,所建模型反映了保费和GDP之间的长期静态和短期动态波动的均衡关系.通过确定时间序列突变点,并利用突变点信息提高模型的预测精度,避免了传统的保费预测中经常存在的虚假回归问题.采用该方法对中国年度保费进行了预测分析,结果表明了该方法的有效性. |
| 关 键 词： | 参数变结构协整 虚假回归 保险市场 |
A Premium Forecasting Model Based on Variable Structure Cointegration Theory |
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| LU Qiu-jun,CHEN Ling,SHI Qi-quan.A Premium Forecasting Model Based on Variable Structure Cointegration Theory[J].Mathematics in Practice and Theory,2011,41(3). | |
| Authors: | LU Qiu-jun CHEN Ling SHI Qi-quan |
| Affiliation: | LU Qiu-jun~(1,2),CHEN Ling~1,SHI Qi-quan~2 (1.School of Science,University of Shanghai for Science and Technology,Shanghai 200093,China) (2.School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China) |
| Abstract: | The author proposes a new method for premium forecasting modeling based on variable structure cointegration theory.The established model reflects the equilibrium relation of long-term static state and short-term dynamic fluctuation between premium and GDP.By determining the points of discontinuity in time series and using the information of discontinuity points,the forecasting accuracy of the model is improved.Mean while the pseudo-regression that often presents in traditional premium forecasting can be avo... |
| Keywords: | variable cointegration of parameters pseudo-regression insurance market |
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