双重广义线性模型在车损险费率厘定中的应用

摘要

Double generalized linear model is an extension of the generalized linear model.It is used to establish the generalized linear model of mean and dispersion parameter,which improves the flexibility and adaptability of the model.The double generalized linear model is applied to the vehicle damage insurance ratemaking,not only the relationship between rate expectations and the rate factor is considered,but also the relationship between the degree of dispersion and the rate factors.The loss data of the insurance company in Europe is used as the sample to carry out the empirical research.The rate determining model is established with bonus,zone,make and annual mileage as the rate factors.The results show that the insurance rate structure is reasonable and practical.%双重广义线模型是对广义线性模型的扩展，其对反应变量的均值与散度参数同时建立模型，提高了模型运用的灵活性与适应性。将双重广义线性模型应用到车损险费率厘定中，既考虑了费率期望值与费率因子之间的关系，又考虑了变量的分散程度与费率因子之间的关系，并以欧洲一家保险公司的汽车保险损失数据为样本进行实证研究，把无索赔优待等级、地区、车型与年均行驶里程数作为费率因子，建立了费率厘定模型。结果表明，所得到费率结构合理，符合实际。