广义联系比率下的单变量和多变量索赔保留

Luís Portugal, A. Pantelous, R. Verrall
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引用次数: 0

摘要

在本文中,引入了一个回归模型设置来估计损失发展因子,其多变量对应物分别考虑了三角形内具有均方差或异方差误差的每个回归方程之间的同期相关性。现在使用适当的计量经济学框架,预测误差以矩阵形式推导,避免使用计算昂贵的递归公式计算相应的发展。在此基础上,将经典的损失发展因子法扩展为单变量广义链接比法,其中适当的方法选择与三角预测误差的最小化有关。此外,还提出了多元广义链接比率方法,该方法具有三角形内每个回归方程之间的同期相关性,并使用最小化预测误差作为选择适合三角形的方法的方法。推导了一些标记方法(如链梯法、向量投影法和简单平均法)以及许多其他未命名方法在均方差和异方差误差情况下的数学表达式。最后,用不规则、规则和实际数据的数值例子说明了我们的处理方法的适用性,并验证了本文的假设。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Univariate and Multivariate Claims Reserving with Generalised Link Ratios
In this paper, a regression modelling setting is introduced to estimate loss development factors, and its multivariate counterpart considers contemporaneous correlation between each regression equation within the triangle with homoscedastic or heteroscedastic errors, respectively. Using now an appropriate econometric framework, the prediction error is derived in a matrix form avoiding the calculation of the corresponding developments using computationally expensive recursive formulas. In this regard, the classical loss development factors method is extended to the univariate Generalized Link Ratios one, where the appropriate method selection is related with the minimization of the prediction errors in the triangle. In addition, the multivariate Generalized Link Ratios method is proposed with contemporaneous correlations between each regression equation within the triangle, using also the minimization of the prediction error as a way to select the appropriate method for the triangle. Mathematical expressions for the case of homoscedastic and heteroscedastic errors derive for some labelled methods (such as the chain ladder, vector projector and simple average) as well as for many other unnamed methods. Finally, several numerical examples with irregular, regular, and real data illustrate the applicability of our treatment and check the assumptions made in the paper.
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