天津商业大学学报
天津商業大學學報
천진상업대학학보
Journal of Tianjin University of Commerce
2008年
3期
33~36
,共null页
未决赔款准备金 GM（1,1）模型 最小二乘法
未決賠款準備金 GM（1,1）模型 最小二乘法
미결배관준비금 GM（1,1）모형 최소이승법
incurred but not reported claims reserving ; GM （ 1, 1 ） model ; least squares estimate
建立了小样本数据条件下未决赔款准备金的灰色模型。在各发生年数据1-AGO序列的平移序列变化速率一致的假设条件下，得到了各发生年共同发展系数的估计值，并利用最小二乘法得到了各发生年灰色作用量的估计值，从而给出了各发生年未决赔款准备金的时间响应序列。文中给出了瑞士汽车保险数据的计算实例，模型预测精度的检验结果为优。
建立瞭小樣本數據條件下未決賠款準備金的灰色模型。在各髮生年數據1-AGO序列的平移序列變化速率一緻的假設條件下，得到瞭各髮生年共同髮展繫數的估計值，併利用最小二乘法得到瞭各髮生年灰色作用量的估計值，從而給齣瞭各髮生年未決賠款準備金的時間響應序列。文中給齣瞭瑞士汽車保險數據的計算實例，模型預測精度的檢驗結果為優。
건립료소양본수거조건하미결배관준비금적회색모형。재각발생년수거1-AGO서렬적평이서렬변화속솔일치적가설조건하，득도료각발생년공동발전계수적고계치，병이용최소이승법득도료각발생년회색작용량적고계치，종이급출료각발생년미결배관준비금적시간향응서렬。문중급출료서사기차보험수거적계산실례，모형예측정도적검험결과위우。
The Grey models for incurred but not reported claims reserving are established in the condition of small samples. Assuming that the rate of increase of 1 - AGO series is identical every development year, the common development coefficient is obtained. Moreover, the grey effect scales are worked out by the method of least squares estimate. Then the time responding series are obtained. An example of insurance data of Swiss Motor is given and the model checking shows that the model fits the data well.
