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Study on Outstanding Claims Reserve of R&C Based on Generalized Addictiv Mixed Model

Author: ZhangJiLei
Tutor: ZhangLin
School: Hunan University
Course: Finance
Keywords: Provision for outstanding claims Generalized Additive mixed model Markov Monte Carlo
CLC: F840
Type: Master's thesis
Year: 2009
Downloads: 129
Quote: 4
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Abstract


With the development of China's insurance industry , the insurance industry competition intensified , increasing the risk of non-life insurers face , due to the characteristics of the insurance industry , the risk is mainly reflected in the level of provision of the insurance company reserves , which , pending one of the major liabilities for claims reserves of non - life insurance companies , and the level of provision for outstanding claims provision will directly affect the profitability of insurance companies , product pricing, solvency and taxes , so the provision for outstanding claims gold is also a non - life insurance companies must use the actuarial method cautious assessment of the project . From a practical point of view , the chain ladder method is widely used in extraction outstanding claims reserve a method , this method principle is simple , easy to operate by the insurance company's favor , but the chain ladder method there are many defects , it can only be the final award amounts development factor and outstanding claims reserve point estimate , not a quantitative analysis of the distribution function of the claim reserves and escrow gap , caused due to the volatility of the sampling point estimate very stability. But also for the long-tail business or new business carried out , the selection of the tail factor has a high degree of subjectivity , subject to certain restrictions on the use of the chain ladder method , has its roots in the method is a deterministic , static methods . Then people began to try to stochastic model is introduced into the reserve assessment . In many stochastic models , generalized linear models has been more widely used , but the model will still be regarded as continuous covariates on the contact function is linear, and did not consider the random effect of this as the starting point , The introduction of Generalized Additive mixed models to assess claim reserves . Build the the Jiama Jia mixing model , Poisson additive mixed model , and non-parametric smoothing method is applied to the generalized additive mixed model , combining the bayes theory and the MCMC method of parameter estimation . Compared with the traditional chain ladder method , generalized additive mixed model is more suitable for the assessment of the long tail of the operational reserve , the results are more accurate and more objective results . Reserving for insurance companies to provide more room for reference , to provide a reference for the comprehensive study of the results of the Company to continue as a going concern .

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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