相依风险及非对称损失下的信度理论

发布时间：2018-01-06 01:30

本文关键词：相依风险及非对称损失下的信度理论　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：在保险实践中,科学合理地制定保费可以如何帮助保险公司更好地抵御风险,提高自身的市场竞争力.在制定保费时,精算师不仅仅要考虑先验信息,还要考虑个体索赔经验,信度理论为此提供了一个很好的工具.现代可信性理论起源于Bühlmann,他将估计限定在索赔数据的线性函数中,得到了著名的Bühlmann模型,奠定了现代可信性理论的基础.在已往的可信性理论中,风险总是被假定为相互独立的,但在实践中,这种假定往往是不切实际的,因此有必要对它们之间依赖关系进行考虑,使得计算出的保费更加合理.经典信度理论,常用平方损失函数来衡量风险,相比于对称损失函数,非对称损失函数能够更好地衡量风险,进而使得保费征收更合理.本文以非对称损失函数Stein损失函数为例,考虑风险相依的情形,对原有的模型进行拓展,推导出具有时间变化效应的Bühlmann模型和Bühlmann-Straub模型.
[Abstract]:In insurance practice, establish the reasonable premium to help insurance companies can better resist risk, improve their market competitiveness. In the formulation of the premium, the actuary must not only consider the prior information, but also consider individual claims experience, reliability theory provides a good tool for this purpose. The origin of the Modern Credibility Theory in B. Hlmann, he will estimate the linear function defined in the claims data, obtained the B famous Hlmann model, laid the foundation of modern credibility theory. In the past the credibility theory, the risk is always assumed to be independent of each other, but in practice, this assumption is often unrealistic, so it is necessary to consider the dependent relationship between them, the calculated premium is more reasonable. The classical reliability theory, the commonly used square loss function to measure the risk, compared to the symmetric loss function, asymmetric loss Loss of function can better measure of risk, and the premium collection is more reasonable. The non symmetric loss function Stein loss function as an example, consider the risk of dependence, the original model is extended to derive the B Hlmann model and B hlmann-Straub model with time varying effects.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F841.3

【相似文献】