基于同单调理论的IBNR准备金估计的随机界  

Stochastic Bounds for the Estimate of IBNR Claims Reserve Based on Comonotonicity Theory

作　　者：卢志义[1] 刘乐平[2] 陈丽珍[1] 

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

出　　处：《数学的实践与认识》2015年第2期60-67,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71371138;71171139);全国统计科学研究计划项目(2012LY107);天津市高等学校科技发展基金计划项目(20121004)

摘　　要：在对IBNR准备金估计的随机模型存在的不足进行分析的基础上,对采用二阶段广义线性模型得到的各单元IBNR准备金估计和的分布问题进行讨论.在考虑折现因子的基础上,采用同单调理论,得到各单元准备金估计的和在凸序意义下的随机界,并通过一个实例对所述方法进行验证.The drawbacks of stochastic models which have been used in IBNR claims reserve are discussed briefly. The distribution of the sum of cells in lower triangle which have been estimated by using two-stage generalized linear models is discussed. Stochastic bounds for the sum of cells are obtained by using comonotonicity theory while the discount factors are involved. An example is showed to illustrate the method.

关 键 词：IBNR准备金 广义线性模型 同单调 随机界 

分 类 号：F840.31[经济管理—保险] F224