基于个体索赔模型的未决赔款准备金估计
发布时间：2018-11-07 10:48
【摘要】：对保险公司来说,科学合理的提取责任准备金对保险公司的经营和保险监管有着重要意义.一方面,准备金评估的准确性是真实反映保险公司经营成果的基础,也是公司经营管理中进行科学决策的基础;另一方面,准备金提取的充分性对保险公司的偿付能力状况和风险状况产生重大影响.根据保险事故的发生和索赔进展模式的不同,责任准备金分为未到期责任准备金、未决赔款准备金,未到期责任准备金的评估相对而言较为直接,而未决赔款准备金的评估,无论是从理论上还是从方法上都存在着很多难点.因为通常在一特定起始年的索赔事故,经常不能在同一年内处理完毕,如对责任险种而言,一般会有很长的法律程序；又如伤残保险,其危害及其引起的索赔在数年后才出现,这些情况都会引起赔案的报告延迟和索赔延迟. 在非寿险准备金评估实务中,对未决赔款准备金的评估多年来一直基于流量三角形技术的链梯法、B-F法、案均赔款法等方法.这些模型都是基于聚合数据,而聚合数据是对赔案个体数据的加总,部分丢失了个体数据所包含的信息,影响了准备金预测的准确性.应用精算学的方法对准备金进行估计,实际上是根据过去的经验数据预测未来赔付额.因此,如何有效地搜集、整理并利用历史经验数据,发现这些历史数据所隐含的理赔模式的特征以及变化趋势是预测未来准备金情况的关键问题. 本文从赔案的索赔额和索赔数目两个方面对未决赔款准备金进行了研究,通过增加赔案报告数目流量三角形,建立了一个基于个体数据的索赔模型,通过该模型可以把RBNS准备金和IBNR准备金分开得到估计.为准备金评估提供了一种新的有效方法
[Abstract]:To the insurance company, it is important for the insurance company to draw the liability reserve scientifically and reasonably. On the one hand, the accuracy of reserve evaluation is the basis of reflecting the management results of insurance companies, and also the basis of scientific decision-making in the management of insurance companies. On the other hand, the adequacy of reserve provision has a significant impact on the solvency and risk status of insurance companies. According to the occurrence of insurance accident and the difference of claim progress pattern, the liability reserve is divided into undue liability reserve, pending claim reserve, undue liability reserve evaluation is relatively direct, while the assessment of outstanding claim reserve, There are many difficulties in both theory and method. Because claims, usually in a particular initial year, are often not processed within the same year, there are generally lengthy legal procedures for liability insurance types; For example, disability insurance, whose hazards and claims arise only after a few years, can cause delays in the reporting of claims and delays in claims. In the practice of non-life insurance reserve evaluation, the evaluation of pending claim reserve has been based on the flow triangle technique for many years, such as chain ladder method, B-F method, case average compensation method and so on. These models are based on aggregate data, and aggregate data is the sum of individual data, which partially loses the information contained in individual data and affects the accuracy of reserve forecast. The estimation of reserves by means of actuarial methods is in fact a prediction of future claims based on past empirical data. Therefore, how to collect, collate and utilize the historical experience data effectively, and find out the characteristics and changing trend of the claim pattern implied by these historical data are the key problems in predicting the future reserve situation. In this paper, the amount of claims and the number of claims in compensation cases are studied. By increasing the number of claims reported, a claim model based on individual data is established. Through this model, the RBNS reserve and the IBNR reserve can be estimated separately. It provides a new and effective method for reserve evaluation.
【学位授予单位】：西北师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.4;F224
本文编号：2316114
[Abstract]:To the insurance company, it is important for the insurance company to draw the liability reserve scientifically and reasonably. On the one hand, the accuracy of reserve evaluation is the basis of reflecting the management results of insurance companies, and also the basis of scientific decision-making in the management of insurance companies. On the other hand, the adequacy of reserve provision has a significant impact on the solvency and risk status of insurance companies. According to the occurrence of insurance accident and the difference of claim progress pattern, the liability reserve is divided into undue liability reserve, pending claim reserve, undue liability reserve evaluation is relatively direct, while the assessment of outstanding claim reserve, There are many difficulties in both theory and method. Because claims, usually in a particular initial year, are often not processed within the same year, there are generally lengthy legal procedures for liability insurance types; For example, disability insurance, whose hazards and claims arise only after a few years, can cause delays in the reporting of claims and delays in claims. In the practice of non-life insurance reserve evaluation, the evaluation of pending claim reserve has been based on the flow triangle technique for many years, such as chain ladder method, B-F method, case average compensation method and so on. These models are based on aggregate data, and aggregate data is the sum of individual data, which partially loses the information contained in individual data and affects the accuracy of reserve forecast. The estimation of reserves by means of actuarial methods is in fact a prediction of future claims based on past empirical data. Therefore, how to collect, collate and utilize the historical experience data effectively, and find out the characteristics and changing trend of the claim pattern implied by these historical data are the key problems in predicting the future reserve situation. In this paper, the amount of claims and the number of claims in compensation cases are studied. By increasing the number of claims reported, a claim model based on individual data is established. Through this model, the RBNS reserve and the IBNR reserve can be estimated separately. It provides a new and effective method for reserve evaluation.
【学位授予单位】：西北师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F840.4;F224
【参考文献】
相关期刊论文 前1条
1 毛泽春,吕立新;用双广义线性模型预测非寿险未决赔款准备金[J];统计研究;2005年08期
，本文编号：2316114
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