动态广义随机利率变化的定义与估计

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英文标题：
《Defining and estimating stochastic rate change in a dynamic general
  insurance portfolio》
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作者：
Roland R. Ramsahai
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最新提交年份：
2018
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英文摘要：
  Rate change calculations in the literature involve deterministic methods that measure the change in premium for a given policy. The definition of rate change as a statistical parameter is proposed to address the stochastic nature of the premium charged for a policy. It promotes the idea that rate change is a property of an asymptotic population to be estimated, not just a property to measure or monitor in the sample of observed policies that are written. Various models and techniques are given for estimating this stochastic rate change and quantifying the uncertainty in the estimates. The use of matched sampling is emphasized for rate change estimation, as it adjusts for changes in policy characteristics by directly searching for similar policies across policy years. This avoids any of the assumptions and recipes that are required to re-rate policies in years where they were not written, as is common with deterministic methods. Such procedures can be subjective or implausible if the structure of rating algorithms change or there are complex and heterogeneous exposure bases and coverages. The methods discussed are applied to a motor premium database. The application includes the use of a genetic algorithm with parallel computations to automatically optimize the matched sampling.
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中文摘要：
文献中的费率变化计算涉及确定性方法，用于测量给定保单的保费变化。为了解决保单保费的随机性，提出了将利率变化定义为统计参数的方法。它提倡这样一种观点，即利率变化是要估计的渐近总体的属性，而不仅仅是要在所写的观察政策样本中测量或监控的属性。给出了各种模型和技术来估计这种随机率变化，并量化估计中的不确定性。在利率变化估计中，强调使用匹配抽样，因为它通过直接搜索跨政策年的类似政策来调整政策特征的变化。这避免了在未编写保单的年份重新评估保单所需的任何假设和配方，这在确定性方法中很常见。如果评级算法的结构发生变化，或者存在复杂和异质的风险基础和覆盖范围，则此类程序可能是主观的或不可信的。所讨论的方法已应用于汽车保险费数据库。该应用包括使用具有并行计算的遗传算法来自动优化匹配采样。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：General Finance        一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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关键词：Quantitative computations Calculations Applications Optimization