| 准备金发展年相关的贝叶斯估计 |
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| 引用本文： | 陈明镜. 准备金发展年相关的贝叶斯估计[J]. 四川理工学院学报(自然科学版), 2011, 24(3): 296-298 |
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| 作者姓名： | 陈明镜 |
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| 作者单位： | 西华师范大学数学与信息学院,四川南充,637002 |
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| 摘 要： | 文章基于广义线性混合模型对准备金运用贝叶斯原理进行预测,该预测模型有三个特点:一是使得各个发展年的赔付之间具有相关性;二是各个事故年的期望总赔付是随机变量;三是在已知其他参数的条件下,各个事故年的后验期望总赔付是先验期望和实际数据的加权平均,且随发展年增长实际数据被赋予更多权重。最后用MCMC方法给出了参数值。
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| 关 键 词： | 广义线性混合模型 贝叶斯 准备金 MCMC |
Bayesian Correlated Reserving for Development Years |
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| CHEN Ming-jing. Bayesian Correlated Reserving for Development Years[J]. Journal of Sichuan University of Science & Engineering(Natural Science Editton), 2011, 24(3): 296-298 |
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| Authors: | CHEN Ming-jing |
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| Affiliation: | CHEN Ming-jing(College of Mathematics and Information,West China Normal University,Nanchong 637002,China) |
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| Abstract: | Based on Generalized Linear Mixed Model we present a model for reserving using Bayesian technique.This model has three profiles: firstly,the payments in different development year are correlated;secondly,the mean of total payment in different accident years is random;thirdly,the posterior estimation of this mean is weight average of prior mean and realized data. |
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| Keywords: | Generalized Linear Mixed Model Bayesian reserving MCMC |
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