基于个体索赔损失模型的IBNR和RBNS准备金估计  

Estimation of IBNR and RBNS reserves on the individual claim loss models

作　　者：陶菊春[1] 张兵强[1] 

机构地区：[1]西北师范大学数学与统计科学学院,兰州730070

出　　处：《兰州大学学报（自然科学版）》2013年第1期116-121,共6页Journal of Lanzhou University(Natural Sciences)

基　　金：国家自然科学基金项目(61062012);甘肃省教育厅基金项目(0901-08)

摘　　要：在个体索赔模型的基础上,选择了一种准确度高、实用性强的准备金评估方法,分别从赔案的索赔额和索赔数目两个方面,对准备金评估问题进行了研究.通过对赔案已报告数目和赔案已决赔款分别应用链梯法,建立起赔付延迟模型、个体赔付额模型和赔案报告数目模型,提出了一个基于个体数据索赔模型.特别地,通过该模型可以把IBNR准备金和RBNS准备金分开得到估计.最后通过实例把建立的模型和链梯法进行了对比,结果显示建立的模型是行之有效的.Based on the individual claim loss model, an accurate and useful method for the prediction of the claim reserving was established and the problem of claim reserving was studies with regard to the compensation and number of of the claims. The simple chain-ladder algorithm was applied to the triangles of incurred counts and paid claims to propose a reserve prediction model for individual claims, based on the settlement delay model, individual settlement amount model and claim report number model. Particularly, through this model IBNR and RBNS claims can be separated and the proposed method was compared with the traditional chain ladder method via a simulation study as well. Finally the simulation results illustrated that the proposed approach performs well.

关 键 词：准备金 RBNS IBNR 多项分布 链梯法 

分 类 号：F224[经济管理—国民经济]