CAJ | 학술논문

对损失分布的估计一直是保险公司的重要问题.有多种参数方法以及非参数方法拟合损失分布.本文作者提出了结合参数和非参数的方法来解决损失分布拟合问题.首先通过超额均值图确定大小损失之间的阈限,再利用广义Pareto分布拟合阈值以上损失,转换后的核密度估计拟合阈值以下损失.最后,通过实证分析将该方法和其他方法进行了误差分析比较,取得了理想的结果.
대손실분포적고계일직시보험공사적중요문제.유다충삼수방법이급비삼수방법의합손실분포.본문작자제출료결합삼수화비삼수적방법래해결손실분포의합문제.수선통과초액균치도학정대소손실지간적역한,재이용엄의Pareto분포의합역치이상손실,전환후적핵밀도고계의합역치이하손실.최후,통과실증분석장해방법화기타방법진행료오차분석비교,취득료이상적결과.
The estimation of loss distribution is always a big issue for insurance companies.Several parametric or nonparametric methods are introduced to fit loss distributions.In this paper,we propose a method by combining both parametric and nonparametric methods to solve this problem.We first determine the threshold between large and small losses by observing the graph of mean excess function,then use the generalized Pareto distribution,the parametric method,to fit excess data,and use kernel density estimation,the nonparametric method,to fit the distribution below threshold.Finally,we use a data set about Chinese annual earthquake loss to compare this method with other existing methods.