广义线性模型在非寿险精算中的应用及其研究进

 
广义线性模型在非寿险精算中的应用及其研究进展
The Applications of Generalized Linear Models in Non-life Insurance and their Development

【作者】 卢志义; 刘乐平;

【Author】 LU Zhi-yi1,LIU Le-ping1,2(1.School of Statistics,Tianjin University of Finance and economics,Tianjin 300222,China;2.Reserch Center for Applied Statistics of Renmin University of China,Beijing 100872,China)

【机构】 天津财经大学统计学院; 天津财经大学统计学院 天津300222; 天津300222; 中国人民大学应用统计科学研究中心; 北京100872;

【摘要】 广义线性模型在精算中的应用始于20世纪80年代,其应用涉及到精算学的各个领域,如生命表的修匀、损失分布、信度理论、风险分类、准备金和费率估计等方面。在对广义线性模型适用于非寿险精算的典型特征进行分析的基础上,对广义线性模型在非寿险精算中的应用及其研究进展进行分析和总结的同时,重点分析利率厘定和准备金估计中广义线性模型的建模思想,并结合实际提出了今后研究的方向。

【Abstract】 The paper analyzes the drawbacks of traditional linear models used in non-life insurance.The salient features of the generalized linear models which are suitable to the non-life insurance are showed.The applications of generalized linear models in non-life insurance are reviewed.Specific attention is focused on the variety of models which can be used in non-life insurance.Further research in this field is pointed out based on practicality.

【关键词】 广义线性模型; 非寿险; 费率厘定; 准备金;

【Key words】 generalized linear models; non-life insurance; rate making; claims reserving;

【基金】 天津市2005年度社科研究规划项目(TJ05-TJ001);中国人民大学应用统计科学研究中心重大项目(05JJD910152)

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