相依保险风险的非参数估计

Non-parameter Estimation Concerning Dependent Insurance Risk

文章研究了在强混合结构下保费与风险载荷的非参数估计问题,得到了基于PH变换及条件尾期望原理的保险风险载荷与保费估计的一致强相合性,以及关于条件尾期望原理保费与风险载荷的一个中心极限定理。通过统计模拟显示相应的估计量具有较好的性质,可以作为保险实践中运用的估价量。

This paper studies the non-parameter estimation of insurance premium and the risk loads under [α-] mixing structure to obtain the strong consistency of insurance risk loads and the premium estimation based on PH-transformation premium and conditional tail expectation principle, and a central limit theorem of insurance premium and risk loads about conditional tail expectation principle. The statistical simulation shows that the corresponding estimator has a good property and can be used as the estimate in insurance practice.