基于分位回归的风险保费预测

风险保费预测是非寿险费率厘定的重要组成部分。在传统的分位回归厘定风险保费中,通常假设分位数水平是事先给定的,缺乏一定的客观性。为此,提出了一种应用分位回归厘定风险保费的新方法。基于破产概率确定保单组合的总风险保费,建立个体保单的分位回归模型,并与总风险保费建立等式关系,通过数值方法求解出分位数水平,实现对个体保单风险保费的预测。通过一组实际数据分析表明,该方法具有良好的预测效果。

Prediction of Risk Premium Based on Quantile Regression

Prediction of risk premiums is an important part in the non-life insurance premium ratemaking.During the determining the risk premium in the traditional quantile regression,quantile level is generally given in advance,which is lack of obj ectivity.Therefore,we propose a new method for determining the risk premium by applying of quantile regression.Firstly,determining the total risk premiums based on the probability of bankruptcy;secondly,to establish quantile regression model in individual policies,and establish relationships with total risk premium;finally,to solve for quantile level by numerical methods,obtain the individual risk premiums.Basing on a set of actual data,the results demonstrates that the method has high forecasting accuracy.