Research On Stochastic Evaluation Method And Predictive Distribution Of Outstanding Indemnity Reserve

The outstanding claim reserve is the most critical part of the non-life insurance reserve.Its assessment is directly related to the operating status of the non-life insurance company.It has always been the focus of attention of insurance regulators and non-life insurance companies.With the popularization and development of actuarial technology in the insurance industry,the current forecast distribution and volatility measurement of outstanding claims reserves has become a new research direction.Although the deterministic method for the assessment of outstanding claims reserves is relatively mature,it cannot obtain volatility measures.The stochastic method of reserve assessment has been recognized and applied in the domestic insurance industry.The stochastic method has an important reference value for the accuracy and adequacy of the assessment of reserve liabilities,and provides important aspects for its volatility measurement and interval estimation.Theoretical basis.This paper firstly proposes the average compensation method based on the interpolation method of the normal improvement Bootstrap method.Using interpolation method to expand the original sample in the flow triangle,the normal improved Bootstrap method is applied to the average compensation method,so that the traditional deterministic evaluation method is converted into a random method.Through empirical examples,it is verified that the normally improved Bootstrap method based on the interpolation method is more accurate than the traditional Bootstrap method based on the average compensation method,and the predicted distribution of the outstanding compensation reserve is obtained.Secondly,a random reserve advancement method based on Monte Carlo method is proposed.Assuming that the flow triangle data obey the over-dispersed Poisson distribution,the Monte Carlo method is applied to the reserve progress method to transform the deterministic reserve progress method into a random method.The Monte Carlo method is used to simulate the compensation data randomly,and the forecasted distribution and the mean squared error of the outstanding claims reserve are obtained.Finally,a log-normal model based on Monte Carlo method is proposed.The Monte Carlo method is applied to the log-normal model for the assessment of outstanding claims reserves,and the forecasted distribution of outstanding claims reserves is obtained.