摘要
为了使得估计的准备金不依赖于先验分布的具体形式,在贝叶斯链梯模型中,采用信度理论的思想,在广义加权损失函数下得到链梯因子的信度估计,建立了案均赔款法下的未决赔款准备金模型.最后,给出保险公司的实际例子,将得到的信度估计与经典链梯法和随机链梯法估计进行了比较.结论显示,方法对未决赔款准备金是有效的.
We consider the chain ladder reserving method in a Bayesian set up, which allows for combining individual claims development data with portfolio information and avoids choosing the prior estimates. This paper presents Bayes chain ladder model which is based on payments per claim incurred. The ideas from credibility theory are used and credibility estimates of chain ladder factors are derived under generalized weighted loss function. Furthermore, we get estimates of reserves. Finally, practical examples of insurance company are given and differences are compared among our credibility estimates obtained, chain ladder estimates and stochastic chain ladder estimates. The conclusions show that credibility claims reserving which is based on the generalized weighted loss function is valid.
引文
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