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雷达卡
摘要翻译：
提出了一种利用链梯法分析过低储备水平风险的方法。给出了在损失储备中，为了达到一定的安全水平，在链梯储备中必须增加多少链梯标准差的安全负荷的问题。这是保险公司综合风险管理框架中的一个重要问题。此外，我们还研究了链梯估计量的相对偏差。在径流表各单元中采用蒙特卡罗模拟技术以及风险理论的集合模型。对链梯储量与蒙特卡罗模拟储量的偏差进行了统计分析。我们的结果记录了索赔数量和索赔大小、分布类型和参数的依赖性。
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英文标题：
《On the Savety Loading for Chain Ladder Estimates: A Monte Carlo
Simulation Study》
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作者：
Magda Schiegl
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最新提交年份：
2010
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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：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
A method for analysing the risk of taking a too low reserve level by use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the Chain Ladder reserve in order to reach a specified security level in loss reserving. This is an important question in the framework of integrated risk management of an insurance company. Furthermore we investigate the relative bias of Chain Ladder estimators. We use Monte Carlo simulation technique as well as the collective model of risk theory in each cell of run-off table. We analyse deviation between Chain Ladder reserves and Monte Carlo simulated reserves statistically. Our results document dependency on claim number and claim size distribution types and parameters.
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PDF链接：
https://arxiv.org/pdf/1009.4143
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