基于GLM的未决赔款准备金评估的随机性链梯法
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引用本文:张连增,段白鸽.基于GLM的未决赔款准备金评估的随机性链梯法[J].财经理论与实践,2012,(1):22-28
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作者单位
张连增,段白鸽 (南开大学 经济学院天津300071) 
中文摘要:为度量未决赔款准备金评估结果的波动性,需要研究随机性评估方法。基于GLM的随机性方法,得到准备金估计及预测均方误差。特别地,在过度分散泊松模型中,分别应用参数Bootstrap方法和非参数Bootstrap方法,得到两种方法下未决赔款准备金的预测分布,进而由该分布得到各个分位数以及其它分布度量,并通过精算实务中的数值实例应用R软件加以实证分析。实证结果表明,两种Bootstrap方法得到的参数误差、过程标准差、预测均方误差都与解析表示估计的结果很接近。
中文关键词:广义线性模型  过度分散泊松分布  预测均方误差  预测分布  Bootstrap方法
 
The Estimation of Outstanding Claims Reserve by Chain Ladder Method based on GLM
Abstract:To scale the volatility of the estimation result of outstanding claims reserve, the estimating method is needed. Based on GLM method, the mean square error of prediction of reserve has been get. In the over dispersed Poisson distribution model, by parametric bootstrap method and non parametric bootstrap method, two forecast distributions, are gained. After empirical analysis by R software, it is found that the parameter errors, standard deviations, mean square error of predictions and estimated results respectively got by two kinds of Bootstrap methods are very similar.
keywords:Generalized linear model  Over dispersed Poisson distribution  Mean square error of prediction  Forecast distribution  Bootstrap method
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