發(fā)布時(shí)間：2018-01-25 03:46

  本文關(guān)鍵詞： 保險(xiǎn)欺詐 損失分布法 蒙特卡洛模擬 度量　出處：《青島大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：保險(xiǎn)業(yè)是金融行業(yè)的三大支柱之一,保險(xiǎn)行業(yè)的健康發(fā)展關(guān)系著一個(gè)國家的經(jīng)濟(jì)命脈、社會(huì)安定和人民生活。但自保險(xiǎn)業(yè)誕生以來,保險(xiǎn)欺詐便如影隨形,而且近年來保險(xiǎn)欺詐案件不斷增多,嚴(yán)重?cái)_亂了保險(xiǎn)市場秩序,侵害了誠實(shí)投保人的合法權(quán)益,威脅著保險(xiǎn)行業(yè)的健康發(fā)展�；诖�,本研究對(duì)保險(xiǎn)業(yè)較為嚴(yán)重的健康保險(xiǎn)欺詐問題進(jìn)行了研究。 本研究利用2006年至2013年的新農(nóng)合欺詐損失數(shù)據(jù),以一年為一個(gè)周期,借鑒損失分布法原理,給定置信區(qū)間,以VaR方法為基礎(chǔ),對(duì)欺詐損失頻率和欺詐損失強(qiáng)度分別建模,擬合出它們的最優(yōu)分布函數(shù),然后根據(jù)這兩個(gè)分布函數(shù)擬合總損失的最優(yōu)分布函數(shù),并采用蒙特卡洛模擬方法進(jìn)行擬合,從而計(jì)算計(jì)提欺詐風(fēng)險(xiǎn)損失準(zhǔn)備金。實(shí)證結(jié)果表明：新農(nóng)合欺詐損失頻率的最優(yōu)擬合為正態(tài)分布,欺詐損失金額的最優(yōu)擬合為韋伯分布。在此基礎(chǔ)上,使用Matlab軟件進(jìn)行總損失分布的蒙特卡洛模擬10000次,得出10000個(gè)欺詐損失金額的模擬結(jié)果。根據(jù)VaR模型定義,在一年內(nèi)新農(nóng)合欺詐損失金額有99%的可能性不會(huì)超過1749.46萬元,即在99%的置信水平下,新農(nóng)合基金每年需要計(jì)提1749.46萬元的欺詐風(fēng)險(xiǎn)損失準(zhǔn)備金。鑒于每年健康保險(xiǎn)欺詐損失金額巨大,本研究還針對(duì)健康保險(xiǎn)欺詐問題的預(yù)防提出了幾點(diǎn)防范措施。
[Abstract]:The insurance industry is one of the three pillars of the financial industry, the healthy development of the insurance industry is related to a country's economic lifeline, social stability and people's livelihood. And in recent years, the increasing number of insurance fraud cases seriously disturbed the order of the insurance market, violated the legitimate rights and interests of honest policy holders, and threatened the healthy development of the insurance industry. This paper studies the serious health insurance fraud in the insurance industry. In this study, the data of fraud loss of NCMS from 2006 to 2013 are used for a period of one year, the principle of loss distribution method is used for reference, the confidence interval is given, and the VaR method is used as the basis. The frequency of fraud loss and the intensity of fraud loss are modeled, and their optimal distribution functions are fitted, and then the optimal distribution functions of total losses are fitted according to the two distribution functions. Monte Carlo simulation method is used to calculate the reserve for fraud risk loss. The empirical results show that the optimal fitting of the loss frequency of the new rural cooperative fraud is normal distribution. The optimal fitting of the amount of fraud loss is Weber distribution. On this basis, the Monte Carlo simulation of total loss distribution using Matlab software is carried out for 10000 times. According to the definition of VaR model, the probability of new rural cooperative fraud loss within one year is less than seventeen million four hundred and ninety-four thousand and six hundred yuan. Namely, under the confidence level of 99%, the new rural cooperative fund needs to raise seventeen million four hundred and ninety-four thousand and six hundred yuan of fraud risk loss reserve every year. In view of the huge amount of annual health insurance fraud loss. This study also puts forward some preventive measures for the prevention of health insurance fraud.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F842.684;F323.89;R197.1

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本文編號(hào)：1461891