二次损失函数下B-F准备金的信度估计

Reliability Estimation of B-F Reserve under Quadratic Loss Function

在B-F准备金模型中,事故年索赔均值的估计至关重要,而传统B-F模型准备金的估计依赖于精算师的先验估计,具有一定的主观性.本文利用信度理论对事故年索赔均值进行估计,得到二次损失函数下事故年索赔均值的信度估计.该方法与传统的B-F估计和链梯法估计进行比较,结果表明二次损失函数下B-F准备金的信度估计是可行的.

In the B-F reserve model,the estimation of the average annual accident claim is very important,while the estimation of the traditional B-F reserve model relies on the prior estimation of actuaries and has certain subjectivity.This paper estimates the average annual accident claim by using the reliability theory,and obtains the reliability estimation of the average annual accident claim under the quadratic loss function.Compared with the traditional B-F estimation and the chain ladder estimation,the results show that the reliability estimation of the B-F reserve under the quadratic loss function is feasible.