系统工程理论与实践
繫統工程理論與實踐
계통공정이론여실천
Systems Engineering—Theory & Practice
2012年
1期
127~133
,共null页
负二项回归 零膨胀负二项回归 过离散 费率厘定
負二項迴歸 零膨脹負二項迴歸 過離散 費率釐定
부이항회귀 령팽창부이항회귀 과리산 비솔전정
negative binomial regression; zero-inflated negative binomial regression; over-dispersed; ratemaking
在费率厘定中，当索赔次数数据存在过离散（over．dispersion）特征时，通常会采用负二项回归模型，但当索赔数据中同时又出现零膨胀（zero．inflated）问题时，负二项回归模型不再适合对这样的数据进行分析．在传统的零膨胀负二项回归模型为基础，并将其推广到更为一般的形式，同时利用解决费率厘定中出现的既有过离散又有零膨胀的问题．通过对一组汽车损失数据的拟合，推广后的零膨胀负二项回归模型有效地改善了拟合效果．
在費率釐定中，噹索賠次數數據存在過離散（over．dispersion）特徵時，通常會採用負二項迴歸模型，但噹索賠數據中同時又齣現零膨脹（zero．inflated）問題時，負二項迴歸模型不再適閤對這樣的數據進行分析．在傳統的零膨脹負二項迴歸模型為基礎，併將其推廣到更為一般的形式，同時利用解決費率釐定中齣現的既有過離散又有零膨脹的問題．通過對一組汽車損失數據的擬閤，推廣後的零膨脹負二項迴歸模型有效地改善瞭擬閤效果．
재비솔전정중，당색배차수수거존재과리산（over．dispersion）특정시，통상회채용부이항회귀모형，단당색배수거중동시우출현령팽창（zero．inflated）문제시，부이항회귀모형불재괄합대저양적수거진행분석．재전통적령팽창부이항회귀모형위기출，병장기추엄도경위일반적형식，동시이용해결비솔전정중출현적기유과리산우유령팽창적문제．통과대일조기차손실수거적의합，추엄후적령팽창부이항회귀모형유효지개선료의합효과．
When the claim numbers appear to be over-dispersed in ratemaking, negative binomial regres- sion model will be usually applied. However, it is also possible that the claim numbers may be zero-inflated, and then the negative binomial regression is not suitable for those data. The paper makes generalization of zero-inflated negative binomial distribution based on traditional ones to deal with the over-dispersed and zero-inflated data simultaneously. At the end of set of automobile insurance loss and the result shows the paper, the extended model is applied to a data that the goodness-of-fit can be effectively improved.
