GAMLSS模型在车险定价中的应用

发布时间：2018-02-13 08:00

本文关键词： GAMLSS GB分布 BCPE分布　出处：《数学的实践与认识》2017年11期 　论文类型：期刊论文

【摘要】：在系统梳理国内外非寿险产品费率厘定方法的基础上,详细介绍了GAMLSS模型,证明了在位置参数和尺度参数的预测中均引入随机效应的GAMLSS模型可更有效地解释纵向数据中个体间的异质性.最后将GAMLSS模型应用于一组纵向车辆保险数据,计算了先验保费、后验保费、后验风险保费和奖惩因子.实证结果表明,GAMLSS模型不仅可为非寿险产品的定价提供依据,而且使风险分类更加稳定、合理.
[Abstract]:On the basis of systematically combing the domestic and foreign non-life insurance product rate determination methods, the GAMLSS model is introduced in detail. It is proved that the GAMLSS model with random effect in the prediction of position parameters and scale parameters can explain the heterogeneity of individuals in the longitudinal data more effectively. Finally, the GAMLSS model is applied to a set of longitudinal vehicle insurance data and the prior premium is calculated. The empirical results show that the GAMLSs model can not only provide the basis for the pricing of non-life insurance products, but also make the classification of risk more stable and reasonable.
【作者单位】：中国人民大学应用统计科学研究中心;北京石油化工学院数理系;
【分类号】：F224;F840.63

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