摘要
方差保费原理是保险公司最常用的保费原理。文章建立了方差保费原理的贝叶斯模型,定义了风险保费及其贝叶斯预测与贝叶斯估计,并得到了相应的近似贝叶斯估计的计算公式。在指数风险模型中研究了这些估计统计性质。最后,利用数值模拟的方法比较了这些估计的均方误差,并验证了估计的收敛速度。
Variance premium principle is the most commonly used premium principle of insurance company.This paper establishes the Bayesian model of variance premium principle,and defines risk premium,its Bayesian prediction and Bayesian estimation with the corresponding approximate Bayesian estimation formula obtained.And then the paper makes a study on the statistical properties of these estimates in the exponential risk model.Finally,the paper employs numerical simulation method to compare the mean square error of these estimates,and verifies the convergence rate of these estimates.
作者
章溢
曾剑锋
温利民
Zhang Yi;Zeng Jianfeng;Wen Limin(School of Mathematics and Information Science,Jiangxi Normal University,Nanchang 330022,China;School of Statistics,Jiangxi University of Finance and Economics,Nanchang 330013,China)
出处
《统计与决策》
CSSCI
北大核心
2019年第19期74-78,共5页
Statistics & Decision
基金
国家自然科学基金资助项目(71761019)
江西省自然科学基金资助项目(20142BAB201013)
关键词
方差保费原理
风险保费
贝叶斯估计
近似信度估计
variance premium principle
risk premium
Bayesian estimation
approximate reliability estimation
