基于Bootstrap方法的随机性准备金进展法及R实现

Stochastic Reserve Development Method and Its R Implementation Using Bootstrap

在传统准备金进展法的基础上,结合模型假设提出了一种新的思路,将传统的确定性准备金进展法合理转化为随机性方法,并将Bootstrap方法应用于准备金进展法中,得到了未决赔款准备金的预测分布,进而由该分布得到了各个分位数以及相关的分布度量(如均值、方差等),最后通过精算实务中的数值实例加以实证分析。

This paper is based upon the traditional reserve development method, and with the proposed model assumptions, proposes an idea that the traditional reserve development method should be modified to stochastic method. It shows how the bootstrap method is applied to the reserve development method, in order to obtain the predictive distribution of the total reserve. The authors put forward the countermeasures and suggestions which have important significance as to the accuracy and sufficiency of the reserves liability.