Dissertation > Excellent graduate degree dissertation topics show

Stochastic Non-life RBNS Reserve Method Analyst: Beyesian Method

Author: XiongZuo
Tutor: WuXianYi
School: East China Normal University
Course: Actuarial Science
Keywords: Outstanding claims reserve Chain Ladder Stochastic model Bayesian Individual data Aggregated data
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 42
Quote: 0
Read: Download Dissertation

Abstract


Insurance companies are the liabilities of financial institutions operate. It measure of future risks to price premiums charged to investors to diversify risk through the management of these liabilities, and profit. Therefore, the management of liabilities for insurance companies is very important, it determines insurance company solvency and profitability. Liability reserve liabilities of the major insurance companies, so the accuracy and adequacy of the reserve valuation for insurance companies will affect the authenticity of the accounting of the results of its operations and the ability to fulfill the insurance payment responsibility. At the same time, due to the non-life and life insurance is not the same features, such as the insurance period is shorter for life insurance, long-tail business, the report claims the delay, the assessment of the non-life insurance reserves is very complex, is the theory of the important issues relative to . Currently, most of the domestic property and casualty insurance companies Chain Ladder BF method, case method to extract the outstanding claims reserve reparations to France and other uncertainties. The uncertainty principle is simple, easy to operate, a specific value can be calculated under certain assumptions. But also has its limitations, this method gives only a point estimate of the outstanding claims reserve can not be predicted accuracy, and future claims randomness is not reflected. Therefore, the scholars on the basis of the deterministic model, the introduction of the concept of the stochastic model, it will be outstanding claims as a random variable, and got a lot of outstanding claims stochastic model in combination with a variety of statistical methods. These are based on aggregate data structure model, lost the individual data contained useful information. Thus, in generating a stochastic model based on the instance of a data structure of the stochastic model of the aggregate data. This study is carried out based on the individual data, which can be applied to individual data contain useful information. And, in practice, the amount of compensation that may contain unknown ingredients, we can use Bayesian methods to estimate it. Since the individual data, to take advantage of individual information has been reported outstanding claims and not reported outstanding claims separate, so this article discusses only the outstanding claims reserve estimation model. General liability reserves the ideal goal is to get the conditions observed reparations distribution, so in the second chapter of this paper, a new claim reserves for outstanding individual data-based Bayesian model . The core idea of ??the model of the original aggregate data on the claims of Bayesian assumptions on the individual data obtained individual outstanding claims distribution in the known part of the reparations under the conditions, and then calculated each accident year overall not conditional distribution decision reparations in the observed data. With this concept, given two specific assumptions distribution model, Poisson-gamma and Normal-exp model. The obtained conditional distribution aggregated data results compare. The advantage of this model is to know the overall distribution of outstanding claims, you can get many other statistical information other than the mean, and the expectations of its conditional variance conditional variance is less than the aggregate data stability than the aggregate data. Chapter III using simulation methods to calculate the specific numerical solution and under aggregate data and compare the result of the chain ladder method. As can be seen, different distributional assumptions, reserve Chain Ladder be provision for these two models in the individual data and aggregated data is very different, because the data base used, and distributed parameter assumptions also affect the results of the reserve.

Related Dissertations

  1. Multi-Sensor Information Fusion and Its Applications on Wearable Computer,TP202
  2. Yellow phosphorus storage tank area of Safety Evaluation,TQ126.317
  3. Research on Peer-to-Peer Traffic Identification Algorithm Based on Cluster Analysis,TP393.02
  4. Mapping Metabolic QTL and Constructing Metabolic Network in Perennial Ryegrass (Lolium Perenne L.),S543.6
  5. Compressive Sensing of the Speech Signal and Its Application in Speech Coding,TN912.3
  6. Researches on Urban Rail Transportation Operation Management System Test and Evaluation Method,TP311.52
  7. Theoretical Studies on the Prediction of Drug-likeness and Oral Bioavailability,R914
  8. Research on Topic Clustering Model of Socail Tagging Based on Bayesian Theory,C93
  9. Risk Assessment of FPSO in Off-loading Operation,U698
  10. Moving Objects Detection and Tracking Using Fisheye Camera,TP391.41
  11. A Nonparametric Bayesian Method to Estimate Ordered Probit Model,O212.8
  12. The Study Based on State Space Model of Claims Reserve,F842.3
  13. Research on Spectrum Detection Technology from Compressed Sensing,TN925
  14. Sensing Data Flasification Attack Defense for Cooperative Spectrum Sensing Schemes in Cognitive Radio Systems,TN925
  15. Algorithm for the Traffic Flow Prediction Based on Improved Non-Parametric Regression Method,F570
  16. A Study on Compressed Sensing Based Estimation of Multipath Channels,TN925
  17. Underwater 3D Reconstruction Based on Binocular Stereo Vision,TP391.41
  18. Study and Application of Safety Monitoring System for Smart Home Based on Wireless Sensor Networks,TP273.5
  19. OFDM Channel Estimation Algorithm Based on Recovery Algorithm,TN919.3
  20. The Research of Phishing Detection Technology Based on Nearest Neighbor and Similarity Measurement,TP393.08
  21. Software based on Bayesian network model and implementation of risk management,TP311.52

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile