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GAMLSS在非寿险费率分析中的应用 被引量：6

Applications of GAMLSS in Non-life Insurance Ratemaking Analysis
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摘要 从广义线性模型(GLM)的局限性出发,分析了几种常见的扩展模型,并重点深入分析了基于位置、尺度、形状的广义可加模型(GAMLSS)。最后对一组保险数据建立了损失频率和损失强度的GAMLSS模型,并与GLM做了对比分析。从不同角度研究了GAMLSS在非寿险费率分析中的应用,本文的研究将丰富非寿险费率分析方法。 Starting from the analysis of limitations of generalized linear models （ GLM）, we analyzed several im- proved models, especially the generalized additive models for location, scale and shape. Finally we constructed GAMLSS for loss frequency data and loss severity data and compared the results with what was given by GLM. We demonstrated the applications of GAMLSS in non-life insurance ratemaking analysis from different angles, which may enrich the methods of non-life insurance ratemaking analysis.
作者 吕定海 黄大庆
机构地区 中国太平洋财产保险股份有限公司
出处 《保险研究》 CSSCI 北大核心 2013年第8期54-65,共12页 Insurance Studies
基金 国家自然科学基金面上项目"非寿险定价与索赔准备金评估的分层模型研究"(71271121)
关键词 基于位置 尺度 形状的广义可加模型 非寿险费率分析 广义线性模型 generalized additive models for location, scale and shape non-life insurance ratemaking analysis gen-eralized linear models
分类号 O212.1 [理学—概率论与数理统计] F840.6 [经济管理—保险]
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参考文献11

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同被引文献28

  • 1孟生旺.广义线性模型在汽车保险定价的应用[J].数理统计与管理,2007,26(1):24-29. 被引量：33
  • 2李丽霞,郜艳晖,周舒冬,邹宗峰,张瑛.广义加性模型及其应用[J].中国卫生统计,2007,24(3):243-244. 被引量：21
  • 3Juraj M Cundedika, Donald H. BumNon-stationary pooled flood fre- quency analysis[J]. Journal of Hydrology, 2003, 276: 210-223.
  • 4Rigby R A, Stasinopoulos D M. Generalized additive models for lo- cation scale and shape[ J]. Journal of the Royal Statistical Society, 2005, 54(3) : 507-554.
  • 5Gabriele V, James A S, Francesco S. Nonstationary modeling of a long record of rainfall and temperature over Rome [ J ]. Advances in Water Resources, 2010, 33 : 1256-1267.
  • 6Gabriele V, James A S, Francesco S, et al. Flood frequency analy- sis for nonstationary annual peak records in an urban drainage basin [J]. Advances in Water Resources, 2009, 32: 1255-1266.
  • 7J. L'opez and F. Franc'es. Non-stationary flood frequency analysis in continental Spanishrivers, using climate and reservoir indices as ex- temalcovariates[J]. Hydrol. Earth Syst. Sci., 2013, 17, 3189- 3203.
  • 8Filliben J J. The probability plot correlation coefficient test for nor- reality[J]. Technometfics. 1975, 17(1) : 111-117.
  • 9Stasinopoulos DM, Rigby RA. Generalized additive models for loca- tion scale and shape(GAMLSS) [ J]. R J Stat Softw 2007, 23 (7).
  • 10Rigby B. A flexible regression approach using GAMLSS in R [ M ]. University of Lancaster, 2009.

引证文献6

二级引证文献31

保险研究
2013年 第8期

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