考虑异常值的改进链梯法  

Improved Chain Ladder Based on Outlying Values

作　　者：闫春[1] 张静[1] 苏瑞[1] 

机构地区：[1]山东科技大学数学与系统科学学院,山东青岛266590

出　　处：《保险研究》2016年第6期81-89,共9页Insurance Studies

基　　金：国家自然科学基金项目(61502280;61472228);青岛市应用基础研究计划项目(青年专项)(14-2-4-55-jch);山东省自然科学基金面上项目(ZR2014FM009);山东科技大学研究生教育创新计划项目(KDYC14016)

摘　　要：针对传统链梯法评估准备金对异常值的高度敏感性问题,本文提出了一种改进链梯法。直接对增量赔款流量三角形进行分析研究,并引入事故年的逐年进展因子。运用箱线图交叉分析事故年的逐年进展因子表和进展年的逐年进展因子表,确定异常值的位置,然后选择合适插补值代替异常值。数值结果表明:改进链梯法实现了异常值的诊断和修正,并改善了流量三角形对角线异常数据不能被有效识别的情况,优化了链梯法对准备金的估计结果。Claims reserves based on traditional chain ladder method is highly sensitive to outlying values. In order to solve this problem, an improved chain ladder method was proposed in this paper. The triangles of incremental claims were analyzed and studied directly, and the year of the accident development factors were introduced. We analyzed the development factors of accident year and development year by the box plot chart to determine the location of outlying values, and adopted a suitable interpolation value to replace the outlying value. The numerical re- suits has shown that the improved chain ladder method can identify and adjust outlying values effectively. The situation that the outlying values of the run-off triangle diagonals cannot be identified effectively is improved, and the results of the chain ladder method for reserve estimation can be optimized.

关 键 词：非寿险准备金 索赔准备金 异常值 链梯法 

分 类 号：F840.65[经济管理—保险]