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首先分析了描述损失进展过程的两类非线性增长曲线,并结合损失进展因子方法和Cape Cod方法,使用极大似然估计对损失进展过程进行建模,得到了索赔准备金的均值估计和波动性度量。接着,进一步扩展该模型,将其用于折现索赔准备金的均值估计和波动性度量中,并通过精算实务中的数值实例、应用R软件加以实证分析。由于这一损失进展过程建模方法纳入了增长曲线,因此可以有效避免尾部进展因子的选择。
Firstly, two types of non-linear growth curves describing the process of loss are analyzed. Based on the loss factor method and the Cape Cod method, the maximum likelihood estimation is used to model the process of loss progression. The mean value of the claim reserves is estimated and fluctuated Sexual metrics. Then, the model is further expanded, which is used to discount the mean value estimation and volatility measurement of claim reserves. The numerical examples in actuarial practice are applied to make empirical analysis with R software. Since this loss progression modeling approach incorporates a growth curve, the choice of caudal progression factor can be effectively avoided.