平衡损失函数下随机B-F准备金的信度估计  

Outstanding Claims Reserving under Balanced Loss Function

作　　者：张庆莉 谭涛 吴黎军[1] ZHANG Qingli;TAN Tao;WU Lijun(College of Mathematics and System Sciences,Xinjiang University,Urumqi,830046,China)

机构地区：[1]新疆大学数学与系统科学学院,乌鲁木齐830046

出　　处：《应用概率统计》2020年第5期509-522,共14页Chinese Journal of Applied Probability and Statistics

摘　　要：在B-F准备金模型中,为了让事故年均值的估计的准备金不依赖于先验分布的具体形式,采用信度方法,在文献[10]模型的基础上考虑索赔额在同一事故年不同进展年存在某种关系,在平衡损失函数下得到事故年索赔均值的最优非齐次与齐次信度估计.特别地,当ω=0时,结果与原模型结果一致,对原模型进行推广.In the reserve model of B-F,in order to make the estimated reserve of the accident year mean independent of the specific form of prior distribution,the credibility method is adopted.On the basis of[10] model,considering the relationship between the amount of claims in different years of progress in the same accident year,the optimal non-homogeneous and homogeneous credibility estimates of the accident year means are obtained under the balanced loss function.When ω=0,the result is consistent with that of the original model,and the original model is generalized.

关 键 词：平衡损失函数 B-F模型 信度理论 未决赔款准备金 

分 类 号：O212.1[理学—概率论与数理统计]