矩相关保费原理下具有时间变化效应的信度模型  

The credibility model with time varying effects under moment-related premium principle

作　　者：李新鹏[1] 高榕 陈一峰 万萌萌 何爱进 吴黎军[2] LI Xinpeng;GAO Rong;CHEN Yifeng;WAN Mengmeng;HE Aijin;WU Lijun(College of Mathematics and Physics,Xinjiang Agriculture University,Urumqi 830052,China;College of Mathematics and System Sciences,Xinjiang University,Urumqi 830046,China)

机构地区：[1]新疆农业大学数理学院,新疆乌鲁木齐830052 [2]新疆大学数学与系统科学学院,新疆乌鲁木齐830046

出　　处：《山东理工大学学报（自然科学版）》2023年第4期73-78,共6页Journal of Shandong University of Technology:Natural Science Edition

基　　金：国家自然科学基金项目(11861064);新疆维吾尔自治区区级大学生创新创业训练计划项目(S202210758098)。

摘　　要：经典信度估计只适用于净保费原理,难以推广到一般保费原理,在实际应用中,赔付额间具有时间变化效应。根据矩相关保费原理,考虑赔付额间的时间变化效应,采用信度理论方法估计赔付额随机变量的条件矩母函数,给出矩相关保费原理下具有时间变化效应的信度估计。通过数值模拟,得到基于矩相关保费原理,几种常见保费原理下风险保费的信度估计满足相合性。The classical credibility estimates can only compute net premiums,and is difficult to be transplanted to general premiums.In practical applications,the claim amounts have time varying effects.The moment-related premium principle,which can be expressed as function of conditional moment generating functions and consider time varying effects,is adopted in the study.The credibility theory was applied to reckon conditional moment generating functions of claim amounts and the credibility estimates with time varying effects were obtained.Finally,numerical simulations demonstrate that the credibility estimation of moment-related premium principle meets the consistency with the common premium principles.

关 键 词：矩相关保费原理 时间变化效应 信度估计 相合估计 

分 类 号：O212[理学—概率论与数理统计]