用双广义线性模型预测非寿险未决赔款准备金
2005-08-15分类号:F224
【部门】湖北大学商学院金融系 北京证券有限责任公司
【摘要】A model to predict Incurred But Not Neported Claims Reserving(IBNR)is studied in this paper.Double generalized linear models are applied to fit claims numbers data and average claims sizes data,respectively.The mean square error of prediction is shown also.The model generalize that of Tweedie's compound Poisson.Moreover,an example on Swiss Motor Insurance data is exhibited,which is shown more efficient.
【关键词】未决赔款准备金 广义线性模型 均方误差 Tweedie类复合Poisson模型
【基金】国家自然科学基金项目的资助(批号:10471076);; 山东省自然科学基金项目的资助(批号:Y2004A07);; 山东省社科规划研究项目(批号04BJJ31)
【所属期刊栏目】统计研究
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