| 二维GPSJ分布类及其在保险中的应用 |
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| 引用本文： | 高洪忠,任燕燕. 二维GPSJ分布类及其在保险中的应用[J]. 中国管理科学, 2004, 12(5): 30-34 |
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| 作者姓名： | 高洪忠 任燕燕 |
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| 作者单位： | 1. 中国人民财产保险股份有限公司博士后工作站 北京 100052;2. 山东大学经济学院 济南 250100 |
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| 摘 要： | 本文给出的二维GPSJ分布类(即GPSJ2)在保险领域应用范围较广,如由机动车辆保险由财产损失索赔次数和人身伤亡索赔次数所组成的模型、超额再保险中的由自留保单数和分出报单数所组成的二维模型等。本文在GPSJ1类基础上研究二维GPSJ类,本文给出了此分布类的定义、背景意义、概率计算的递推公式,同时还对各参数的最大似然估计值的求解过程进行了分析。本文最后将这一模型应用于一组机动车辆赔付次数数据,考虑了由财产损失索赔次数、人身伤亡索赔次数组成的二维模型,拟合效果令人满意。
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| 关 键 词： | GPSJ类 EDP变换 ESJ类 GPSJ2分布类 |
| 文章编号： | 1003-207(2004)05-0030-05 |
| 收稿时间： | 2004-03-23; |
| 修稿时间： | 2004-03-23 |
The Bivariate GPSJ Class and Its Application in Insurance |
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| GAO Hong-zhong,REN Yan-yan. The Bivariate GPSJ Class and Its Application in Insurance[J]. Chinese Journal of Management Science, 2004, 12(5): 30-34 |
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| Authors: | GAO Hong-zhong REN Yan-yan |
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| Affiliation: | 1. PICC Property and Casualty Company Limited, Beijing 100052, China;2. Institute of Economics, Shandong University, Jinan 250100, China |
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| Abstract: | The model presented in this paper is very useful in insurance,especially for frequencies of property claims/frequencies of liability claims model,frequencies of retention claims/frequencies of excess treaty claims model in reinsurance.We study a class of bivariate GPSJ distributions by extending the GPSJ class from the uni-variate case to the bivariate case.We also show how to obtain the recursive formula of its probabilities.The study typically extends the use of some bivariate distributions appeared in literatures.Finally we employ this class to an application and the fitting effect is satisfying. |
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| Keywords: | GPSJ1class extended De Pril transform ESJ class GPSJ2class |
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