未决赔款准备金的灰色模型估计  

Grey Models for Estimate of Incurred but not Reported Claims Reserving

作　　者：孟丽丽[1] 卢志义[2] 

机构地区：[1]天津商业大学理学院,天津300134 [2]天津财经大学统计学院,天津300222

出　　处：《天津商业大学学报》2008年第3期33-36,共4页Journal of Tianjin University of Commerce

摘　　要：建立了小样本数据条件下未决赔款准备金的灰色模型。在各发生年数据1-AGO序列的平移序列变化速率一致的假设条件下,得到了各发生年共同发展系数的估计值,并利用最小二乘法得到了各发生年灰色作用量的估计值,从而给出了各发生年未决赔款准备金的时间响应序列。文中给出了瑞士汽车保险数据的计算实例,模型预测精度的检验结果为优。The Grey models for incurred but not reported claims reserving are established in the condition of small samples. Assuming that the rate of increase of 1 - AGO series is identical every development year, the common development coefficient is obtained. Moreover, the grey effect scales are worked out by the method of least squares estimate. Then the time responding series are obtained. An example of insurance data of Swiss Motor is given and the model checking shows that the model fits the data well.

关 键 词：未决赔款准备金 GM(1 1)模型 最小二乘法 

分 类 号：O159[理学—数学]