平衡损失函数下对信度理论的进一步研究.pdfVIP

摘 要 摘 要 平衡损失函数既反映了估计的精确性,又反映了拟合程度的好坏.它已成为许多领域 的研究课题,所以本文在平衡损失函数下对信度理论作了进一步研究. 首先,在经典信度理论中,信度保费是在净保费原理下得到的,但在实际商业保险 中,由于指数保费原理满足保费原理的所有性质,保险公司经常选择它来制定保费,在文 献[27]中,温利民等人用均方损失函数得到了指数保费原理的信度估计.本文在平衡损失 函数下建立了指数保费原理的信度估计,推广了温利民等人的结论. 其次,在实际应用中,随着每年物价变化,通货膨胀对于索赔额的影响予以考虑.本文 在平衡损失函数下研究了具有通货膨胀因子的信度保费,得到了单合同模型和多合同模 型对应的信度保费,并对结果进行了数值模拟,它符合预期结果. 最后,经典信度理论假设各风险之间互相独立,但在实际应用中,由于各风险之间并不 是独立的,而是具有相依性的,在文献[28]中,温利民等人给出了个体索赔额间具有时间变 化效应的特殊相关结构的信度保费.本文在平衡损失函数下研究了各风险间具有此种特 殊相依结构的信度模型,分别得到了B¨uhlmann 和B¨uhlmann-Straub 模型的信度保费,结 果表明它是经典信度模型―B¨uhlmann 和B¨uhlmann-Straub 模型的推广. 关键词: 信度原理, 平衡损失函数, 指数保费原理, 通货膨胀因子, 相依结构. – i – Abstract The balanced loss function reflects both precision of estimation and goodness of fit, it has been the subject of many theoretical and applied studies. So this paper makes further research on credibility theory under balanced loss function. First, in the classical credibility theory, the credibility premium are derived on the basis of pure premium. However, the exponential premium principle satisfies all pros- perities of premium principle, so the insurance company often decides the premium by using it, in literature [27], Wen et al. obtained the credibility estimators of exponential premium principle under squared-error loss function. This article established credibility estimators of exponential premium principle under balanced loss function, it generalized Wen et al.’s conclusions. Second, in practical applications, with prices of commodities changing every year, the inflation’s influence towards claim amounts should be considered. So our article studied the credibility premium with inflation factor under balanced loss function,