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随着我国保险业精算技术的普及与发展,目前对准备金波动性的研究已成为一个新方向,准备金评估随机性方法已在国内保险业得到认可和应用。本文创新性地研究了如何将已决赔款和已报案赔款数据的相关性引入到随机性准备金评估方法中,提出了两种基于相关性的随机性准备金进展法,并通过精算实务中的数值实例,应用R软件加以实证分析。本文的研究对保险公司在准备金评估方法中引入并发展随机性方法,具有十分重要的理论意义和实践价值,也为保险行业开发新的准备金评估软件提供有益的支持和参考。
With the popularization and development of actuarial technology in China’s insurance industry, the current research on the volatility of reserve has become a new direction. The stochastic method of reserve assessment has been approved and applied in the domestic insurance industry. This paper studies innovatively how to introduce the correlation between the settled claims and the reported claims data into the method of stochastic reserve assessment. Two stochastic reserve development methods based on the correlation are proposed, and through the actuarial practice Numerical examples, the application of R software to be empirical analysis. The research in this paper has very important theoretical and practical value for insurance companies to introduce and develop the stochastic method in the reserve assessment method. It also provides useful support and reference for the insurance industry to develop new reserve assessment software.