个体信息对损失保留的影响

IF 1.7 3区 经济学 Q2 ECONOMICS ASTIN Bulletin Pub Date : 2020-12-14 DOI:10.1017/asb.2020.42
Zhigao Wang, Xianyi Wu, Chunjuan Qiu
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引用次数: 6

摘要

在一般保险业务中,因发生损失或理赔而产生的未偿负债的预测起着至关重要的作用。基于单个损失的损失准备方法通常比基于总体损失的损失准备方法表现得更好。本研究采用参数化个体信息模型,不仅考虑了个体损失,还考虑了政策本身的年龄、性别等个体信息。在此模型的基础上,本文提出了未偿负债投影的计算方法,讨论了未知参数的估计和统计性质,并探讨了投资组合规模趋于无穷时损失准备金的渐近行为。最重要的是,本研究证明了个体信息对损失保留的好处。值得注意的是,从个体信息中获得的准确性要比考虑个体损失的准确性高得多。因此,强烈建议在一般保险的损失准备中使用个人信息。
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THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING
Abstract The projection of outstanding liabilities caused by incurred losses or claims has played a fundamental role in general insurance operations. Loss reserving methods based on individual losses generally perform better than those based on aggregate losses. This study uses a parametric individual information model taking not only individual losses but also individual information such as age, gender, and so on from policies themselves into account. Based on this model, this study proposes a computation procedure for the projection of the outstanding liabilities, discusses the estimation and statistical properties of the unknown parameters, and explores the asymptotic behaviors of the resulting loss reserving as the portfolio size approaching infinity. Most importantly, this study demonstrates the benefits of individual information on loss reserving. Remarkably, the accuracy gained from individual information is much greater than that from considering individual losses. Therefore, it is highly recommended to use individual information in loss reserving in general insurance.
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来源期刊
ASTIN Bulletin
ASTIN Bulletin 数学-数学跨学科应用
CiteScore
3.20
自引率
5.30%
发文量
24
审稿时长
>12 weeks
期刊介绍: ASTIN Bulletin publishes papers that are relevant to any branch of actuarial science and insurance mathematics. Its papers are quantitative and scientific in nature, and draw on theory and methods developed in any branch of the mathematical sciences including actuarial mathematics, statistics, probability, financial mathematics and econometrics.
期刊最新文献
Construction of rating systems using global sensitivity analysis: A numerical investigation Optimal VIX-linked structure for the target benefit pension plan Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer Target benefit versus defined contribution scheme: a multi-period framework ASB volume 53 issue 3 Cover and Front matter
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