CAJ | 학술논문

信度模型是经验费率厘定的主要方法，其缺陷在于隐含的正态分布假设并不适用于索赔次数，同时也无法分析费率因子对预期保费的影响。若将信度模型与广义线性混合模型相结合，同时考虑保单已知的风险特征信息和潜在的个体风险特征信息，将正态分布假设推广到泊松分布，放宽随机效应假设，即可构建一种扩展的联合定价模型。扩展的联合定价模型不仅能解决定价过程中风险信息重叠的问题，其预测值还具有类似信度模型“收缩估计”的性质。对一组保单索赔次数数据的研究发现，扩展的联合定价模型（泊松－伽马模型）对索赔次数的拟合更加合理，解决了奖惩因子的“过度奖惩”的问题，有效改进了预测结果。
신도모형시경험비솔전정적주요방법，기결함재우은함적정태분포가설병불괄용우색배차수，동시야무법분석비솔인자대예기보비적영향。약장신도모형여엄의선성혼합모형상결합，동시고필보단이지적풍험특정신식화잠재적개체풍험특정신식，장정태분포가설추엄도박송분포，방관수궤효응가설，즉가구건일충확전적연합정개모형。확전적연합정개모형불부능해결정개과정중풍험신식중첩적문제，기예측치환구유유사신도모형“수축고계”적성질。대일조보단색배차수수거적연구발현，확전적연합정개모형（박송－가마모형）대색배차수적의합경가합리，해결료장징인자적“과도장징”적문제，유효개진료예측결과。
Credibility model is the main method of experience ratemaking . However , traditional credibility model has own limitation as it assumes the response variable follows normal distribution .This implicit assumption of normal distribution does not describe the number of claims and other discrete data reasonably ,and cannot consider the impact of risk factors in calculating premium .Meanwhile ,as an important method in classification retaking , generalized linear mixed model can be combined with credibility theory .In this way ,it can solve these problems effectively .In this paper ,we take into account both risk factors and unobserved individual risk characteristics and extend the normal distribution to Poisson distribution ,constructing an extension of the joint pricing model ,which can fit number of claims more precisely .The extension of joint pricing model can not only solve the pricing process information overlap or error amplification issues ,but also presents the credibility‐like shrinkage predictor toward the mean in response to low credibility .The empirical study suggests that the extension of joint pricing model with Poisson‐Gamma distribution shows the stronger fitting criterion and less mean standard error .