摘要
2015年4月中国保监会在全国六个地区进行商业车险费率改革试点,标志着商业车险市场化改革正式启动。费率市场化改革后,车险定价是否合理将成为财产保险公司竞争的主要手段。在车险定价中常用的模型是广义线性模型,该模型建立的一个重要假设是索赔数据的相互独立性。但在实践中,随着投保年份的增加,同一投保人不同年份的索赔数据具有相关性,此时广义线性模型不再适用。本文采用广义估计方程来处理索赔数据之间的相关性,实证研究表明,在数据具有相关性的情况下,广义线性模型低估了回归系数的标准差,使得不显著的变量变得显著,增加了风险分类的种类,对具有相同风险的被保险人收取不同的保费,导致保险逆选择问题,而广义估计方程将二阶方差成分引入限制性似然估计方程中处理索赔数据之间的相关性,从而有效解决上述问题。同时,该方法也丰富了非寿险定价工具,为精算师厘定费率提供新思路。
China Insurance Regulatory Commission commenced reform on commercial auto insurance premium rate in six areas of China from April 2015 ,signaling that the market-oriented reform on commercial auto insurance pre- mium rate was officially launched. In the post-reform era, whether the auto insurance pricing is reasonable or not will become the main means of competition of property insurance companies. The commonly used auto insurance pricing model is the generalized linear model. This model is built on an important assumption that the claims data must be independent. But in practice, with the policy year increasing, the same policy-holder＇ s claims data in dif- ferent year has correlation. Therefore the generalized linear model is no longer applicable. In this paper, we used the generalized estimating equation to deal with the correlation between the same policy-holder＇ s claims data. The empirical research showed that the generalized linear model underestimated the standard deviation of regression fac- tors, making non-significant variables become significant. Furthermore, it enlarged the risk categories and charged different premiums for the insured with the same risk profile, thus leading to the problem of adverse selection. The generalized estimating equation introduced the second order deviation element into the restricted likelihood estima- ting equation to reflect the correlation of claims data, thus properly resolved this problem. At the same time, this method also enriched the non-life insurance pricing tools, and provided a new way for the rate calculation.
出处
《保险研究》
CSSCI
北大核心
2015年第12期88-97,共10页
Insurance Studies
关键词
商业车险
广义估计方程
泊松分布
负二项分布
commercial vehicle insurance
Generalized Estimating Equation
Poisson Distribution
negative binomial distribution
