本文選題：保費(fèi)原理 + 風(fēng)險保費(fèi)��； 參考：《統(tǒng)計與信息論壇》2016年09期

【摘要】：風(fēng)險保費(fèi)預(yù)測是非壽險費(fèi)率厘定的重要組成部分。在傳統(tǒng)的分位回歸厘定風(fēng)險保費(fèi)中,通常假設(shè)分位數(shù)水平是事先給定的,缺乏一定的客觀性。為此,提出了一種應(yīng)用分位回歸厘定風(fēng)險保費(fèi)的新方法。基于破產(chǎn)概率確定保單組合的總風(fēng)險保費(fèi),建立個體保單的分位回歸模型,并與總風(fēng)險保費(fèi)建立等式關(guān)系,通過數(shù)值方法求解出分位數(shù)水平,實現(xiàn)對個體保單風(fēng)險保費(fèi)的預(yù)測。通過一組實際數(shù)據(jù)分析表明,該方法具有良好的預(yù)測效果。
[Abstract]:Risk premium prediction is an important part of non-life insurance rate determination. In the traditional quantile regression determination of risk premium, the quantile level is usually assumed to be given in advance and lacks some objectivity. Therefore, a new method for determining risk premium by quantile regression is proposed. Based on the ruin probability, the total risk premium of the policy portfolio is determined, the quantile regression model of the individual policy is established, and the equality relationship with the total risk premium is established. The quantile level is solved by numerical method, and the prediction of the individual insurance risk premium is realized. A set of actual data analysis shows that the method has a good prediction effect.
【作者單位】： 中國人民大學(xué)應(yīng)用統(tǒng)計科學(xué)研究中心;中國人民大學(xué)統(tǒng)計學(xué)院;
【基金】：國家自然科學(xué)基金項目《考慮風(fēng)險相依的非壽險精算模型研究》(71171193) 教育部重點研究基地重大項目《隨機(jī)效應(yīng)模型及其在非壽險風(fēng)險管理中的應(yīng)用》(12JJD790025)
【分類號】：F840;O212.1
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本文編號：1835040