贝叶斯曲-正常线性混合模型的研究及其在消防保险中的应用
Meiling Gong1, Zhanli Mao1, Di Zhang1
1School of Fire Protection Engineering, China People's Police University, Langfang, China.
概括
这项研究引入了一种新的偏斜-正常线性混合模型,用于火灾保险损失索赔. 贝叶斯马尔科夫链蒙特卡洛方法有效地解决了数据偏差,改善了损失索赔分配建模和保险费率计算.
科学领域:
- 精算科学 精算科学
- 统计建模 统计建模
- 风险管理 风险管理
背景情况:
- 消防保险损失索赔数据表现出复杂的特征,如斜率和重尾.
- 传统的线性混合模型难以准确地捕捉保险损失的分布.
- 对损失分布的准确建模对于有效的火灾保险评级至关重要.
研究的目的:
- 为火灾保险损失索赔数据开发一个科学和稳健的分发模型.
- 建立一个曲-正常线性混合模型,结合贝叶斯方法.
- 创新火灾保险保费率的计算方法.
主要方法:
- 假设的随机效应和线性混合模型中的错误遵循一个斜正态分布.
- 采用贝叶斯马尔科夫链蒙特卡洛 (MCMC) 方法进行模型估计.
- 使用R语言的JAGS包进行后置分布分析和参数估计.
主要成果:
- 提出的贝叶斯偏-正常线性混合模型有效地克服了数据偏.
- 该模型与日志-正常线性混合模型相比,与样本数据显示出优异的拟合性和相关性.
- 预测和模拟的损失索赔价值用于确定利率.
结论:
- 开发的分布模型适用于描述保险索赔,特别是火灾保险损失数据.
- 贝叶斯式MCMC方法更适合歪曲和重尾保险损失数据.
- 这项研究推进了贝叶斯方法在火灾保险中的应用,并为保费率计算提供了新的方法.
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