| 零膨胀负二项回归模型的推广与费率厘定 |
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| 引用本文： | 徐昕,袁卫,孟生旺.零膨胀负二项回归模型的推广与费率厘定[J].系统工程理论与实践,2012,32(1):127-133. |
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| 作者姓名： | 徐昕 袁卫 孟生旺 |
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| 作者单位： | 1. 首都经济贸易大学 金融学院, 北京 100070;
2. 中国人民大学 统计学院, 北京 100872 |
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| 基金项目： | 国家自然科学基金(71171193) |
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| 摘 要： | 在费率厘定中,当索赔次数数据存在过离散(over-dispersion)特征时,通常会采用负二项回归模型,但当索赔数据中同时又出现零膨胀(zero-inflated)问题时,负二项回归模型不再适合对这样的数据进行分析.在传统的零膨胀负二项回归模型为基础,并将其推广到更为一般的形式,同时利用解决费率厘定中出现的既有过离散又有零膨胀的问题.通过对一组汽车 损失数据的拟合,推广后的零膨胀负二项回归模型有效地改善了拟合效果.
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| 关 键 词： | 负二项回归 零膨胀负二项回归 过离散 费率厘定 |
| 收稿时间： | 2009-10-13 |
Generalization of zero-inflated negative binomial regression model and ratemaking |
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| XU Xin
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YUAN Wei
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MENG Sheng-wang.Generalization of zero-inflated negative binomial regression model and ratemaking[J].Systems Engineering —Theory & Practice,2012,32(1):127-133. |
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| Authors: | XU Xin YUAN Wei MENG Sheng-wang |
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| Institution: | 1. School of Finance, Capital University of Economics and Business, Beijing 100070, China;
2. School of Statistics, Renmin University of China, Beijing 100872, China |
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| Abstract: | When the claim numbers appear to be over-dispersed in ratemaking,negative binomial regression model will be usually applied.However,it is also possible that the claim numbers may be zero-inflated, and then the negative binomial regression is not suitable for those data.The paper makes generalization of zero-inflated negative binomial distribution based on traditional ones to deal with the over-dispersed and zero-inflated data simultaneously.At the end of the paper,the extended model is applied to a data set of automobile insurance loss and the result shows that the goodness-of-fit can be effectively improved. |
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| Keywords: | negative binomial regression zero-inflated negative binomial regression over-dispersed ratemaking |
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