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A Study on Credibility Method of Non-life Actuarial Science Based on Markov Chain Monte Carlo Technique

Author: QuZuo
Tutor: LiZhongMin
School: Tianjin University
Course: Quantitative Economics
Keywords: Casualty Actuarial Experience rating Credibility Bayesian methods Markov chain Monte Carlo methods Gibbs sampling
CLC: F842.6
Type: Master's thesis
Year: 2007
Downloads: 185
Quote: 0
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Abstract


With China's accession to the WTO the end of the transition period , the basic realization of the opening up of China's financial industry . As the financial industry 's most fully open industry , China's insurance industry is facing unprecedented competition . How to reasonably determine insurance rates , so that it meets the regulatory requirements , but also reflects the price competitiveness has become the most important issue to be solved by the actuarial techniques . The widely used in the field of non-life actuarial experience Ratemaking methods - credibility method study . The most accurate and reliable and Bayesian methods are closely related to the fact that the credibility premium Bayesian estimation of the risk premium defined in the claims experience linear combination within a special premium . Bayesian statistical analysis of one of the most effective tools is the Markov chain Monte Carlo (MCMC) methods , this paper attempts to methods used in the most accurate and reliable model , which can only be given to solve the original model the credibility factor point estimates limitations . Ratemaking drawn by the competitive status quo of China 's insurance industry , respectively, non-life insurance rates are determined , The experience Ratemaking the concept , focus on analysis of the experience rating method for determining the credibility ; then historical background , the general concept , the scope of application and calculation method of credibility ; went on to discuss the application of Bayesian methods experience Ratemaking , pointed out that the most accurate and reliable and Bayesian methods between contact , and put forward the idea of the MCMC method used in the most accurate and reliable model ; MCMC method , based on the most accurate and reliable MCMC model for auto insurance policyholders combination of experience Ratemaking . The empirical results show that : based on the credibility of the model with the original model of MCMC compared to only be able to give a reasonable prediction of lower premiums , and interval estimation of the credibility factor and credibility premiums for actuaries according their own experience Ratemaking basis . Finally, the findings made ??in this paper , there is the problem , and further research directions are summarized .

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CLC: > Economic > Fiscal, monetary > Insurance > China's insurance industry > Various types of insurance
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