未决赔款准备金评估模型的比较研究

近10多年来,关于未决赔款准备金评估模型的研究取得了较大进展,其中虽然也包含对各种评估模型相互关系的探讨,如关于各种随机模型的比较、以及基于B-F法对各种准备金评估模型的比较等,但仍然不够全面和系统。在对准备金评估模型从不同角度进行了较为系统的分类和综述的同时,首次以最基本的链梯模型为基础,建立了一个统一的框架,并对常见的一些准备金评估模型进行了综合比较和分析,揭示了它们之间的一些重要关系,给出了在实务中选择准备金评估模型的一些建议。

A Comparison of Outstanding Loss Reserving Models

In the past two decades,a lot of progresses have been made in the study of outstanding loss reserving models,and some attention are paid to the comparison of these different models,such as comparison of stochastic models and comparison of models based on B-F methods,but these comparisons are not complete. The paper classifies these models according to different criteria,and then using a unified structure,compares some frequently used models with basic chain-ladder model,and reveals some important relationship among them.In the final part of the paper,some suggestions are given for choosing appropriate models in practice.