论文标题
在建模非寿命保险索赔中评估离散广义帕累托分布的性能
Assessing the Performance of the Discrete Generalised Pareto Distribution in Modelling Non-Life Insurance Claims
论文作者
论文摘要
在本文中，非寿险保险索赔是根据三个参数离散的广义帕累托分布建模的。加纳国家保险委员会对2012 - 2016年期间的报告和解决索赔的数据。在将离散的帕累托分布拟合到年度和汇总数据时，采用了最大似然估计原理。估计涉及两个步骤。首先，对\ citet {prieto2014}的$μ$和$（μ+1）$频率方法进行了修改，以适合研究的数据的特征。其次，实施了引导程序算法以获得离散广义帕累托分布参数的估计值的标准误差。使用Akaike和Bayesian的信息标准，将离散的广义帕累托分布的性能与对非生活保险索赔数据进行建模时的负二项式分布进行了比较。结果表明，离散的广义帕累托分布为非生活索赔数据提供了更好的拟合。 关键字：非生活保险索赔，离散的广义帕累托分布，负二项式分布，最大似然估计，信息标准。
In this paper, non-life insurance claims were modelled under the three parameter discrete generalised Pareto distribution. Data from the National Insurance Commission of Ghana on reported and settled claims were considered for the period 2012-2016. The maximum likelihood estimation principle was adopted in fitting the discrete Pareto distribution to the yearly and aggregated data. The estimation involved two steps. Firstly, the $μ$ and $(μ+1)$ frequency method of \citet{Prieto2014} was modified to suit the characteristics of the data under study. Secondly, a bootstrap algorithm was implemented to obtain the standard errors of the estimators of the parameters of the discrete generalised Pareto distribution. The performance of the discrete generalised Pareto distribution is compared to the negative binomial distribution in modelling the non-life insurance claims data using the information criteria of Akaike and Bayesian. The results show that the discrete generalised Pareto distribution provides a better fit to the non-life claims data. Keywords: Non-life insurance claims, discrete generalised Pareto distribution, negative binomial distribution, maximum likelihood estimation, information criteria.
