基于相依结构的多元索赔准备金评估随机性方法研究评述

发布时间：2018-04-09 17:19

本文选题：相依结构　切入点：多元索赔准备金评估　出处：《保险研究》2014年09期

【摘要】：索赔准备金评估方法的最新发展趋势是考虑相依结构的两类多元评估随机性方法,即将基于已决与已报案赔款之间的相关性、基于不同业务线之间的相依性体现在准备金评估的分析框架中。首先系统梳理两类多元评估随机性方法的最新进展,将一元评估方法的三个层次(无分布假设、分布模型假设、在分层结构下考虑各种分布假设)扩展到两类多元评估方法中。在多元框架下,将多元统计分析方法、精算学中的相依风险建模方法(多元分布模型、概率联结函数、共单调技术)应用到这三个层次中,探讨索赔准备金的均值和预测均方误差估计、预测分布的模拟问题。其次扩展考虑一元和多元框架下日益受到关注的含索赔通胀和会计年相依性问题。最后探讨这些评估方法在国外偿付能力监管中的应用。这将进一步拓展准备金评估不确定性风险度量的研究,推动精算学中定量风险管理技术的发展。
[Abstract]:The latest trend in the methodology for assessing claims reserves is the randomness of two types of multivariate assessment considering dependent structures, namely, based on the correlation between determined and reported claims,Dependencies based on different lines of business are reflected in the analytical framework of reserve assessment.Firstly, this paper systematically reviews the latest progress of two kinds of multivariate evaluation randomness methods, and extends the three levels (no distribution hypothesis, distribution model hypothesis, considering various distribution assumptions under hierarchical structure) to two kinds of multivariate evaluation methods.In the multivariate framework, the multivariate statistical analysis method and the dependent risk modeling method (multivariate distribution model, probabilistic association function, common monotone technique) are applied to these three levels.In this paper, the mean value of claim reserve and the estimation of predicted mean square error, and the simulation of forecast distribution are discussed.Secondly, the problem of inflation including claim and fiscal year dependence which is increasingly concerned about under the univariate and pluralistic framework is taken into account.Finally, this paper discusses the application of these evaluation methods in foreign solvency supervision.This will further expand the research on uncertainty risk measurement of reserve assessment and promote the development of quantitative risk management technology in actuarial science.
【作者单位】：复旦大学经济学院风险管理与保险学系;
【基金】：国家自然科学基金青年项目“基于相依结构的多元索赔准备金评估随机性方法研究”(No.71401041) 教育部人文社会科学研究青年基金项目“非寿险随机性索赔准备金评估统计模型与方法”(No.14YJCZH025)的资助
【分类号】：F842.4

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