英文标题：
《Nonparametric modeling cash flows of insurance company》
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作者：
Valery Baskakov, Nikolay Sheparnev and Evgeny Yanenko
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最新提交年份：
2019
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英文摘要：
The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies\' data on inshurance policies (including policies with deductible) and claims incurred. Real data of some Russian insurance companies on non-life insurance contracts illustrate some opportunities of the proposed approach. The point and interval estimates of net premium, claims frequency, claims reserves including IBNR and OCR, are thus obtained. The resulting estimate of claims reserves falls in the range of reasonable estimates calculated on the basis of traditional reserving methods (the chain-ladder method, the frequency-severity method and the Bornhuetter-Ferguson method). The proposed methodology is based on additive estimates of a company\'s financial indicators, in the sense that they are calculated as a sum of estimates built separately for each element of the sample (claim). This allows using the proposed methodology to model insurance companies\' financial flows and, in particular, to solve the problems of reserve redistribution between particular segments of insurance portfolio and/or time intervals; to adjust risk as part of financial reporting under IAS 17 Insurance Contracts; and to deal with many other tasks. The accuracy of insurance companies\' financial parameters estimate based on the proposed methods was tested by statistical modeling. IBNR was used as the test parameter. The modeling results showed a satisfactory accuracy of the proposed reserve estimates.
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中文摘要：
本文提出了一种基于多维分布函数的定量统计模型的构建方法，该分布函数是基于保险公司的保险单（包括可抵扣保单）和索赔数据构建的。一些俄罗斯保险公司关于非人寿保险合同的真实数据说明了拟议方法的一些机会。从而得出净保费、索赔频率、索赔准备金（包括IBNR和OCR）的点估计和区间估计。由此得出的索赔准备金估计值在基于传统准备金方法（链梯法、频率严重性法和Bornhuetter-Ferguson法）计算的合理估计值范围内。拟议的方法基于对公司财务指标的加性估计，也就是说，这些指标是作为对样本（索赔）中每个要素单独构建的估计值的总和来计算的。这允许使用拟议的方法对保险公司的资金流进行建模，尤其是解决保险组合特定部分和/或时间间隔之间的准备金再分配问题；根据《国际会计准则》第17号《保险合同》，将风险调整为财务报告的一部分；以及处理许多其他任务。通过统计建模检验了基于所提方法的保险公司财务参数估计的准确性。IBNR被用作测试参数。建模结果表明，拟议储量估计值具有令人满意的准确性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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