题 目：Improvement of Stochastic Chain Ladder Model in Claims Reserve
摘 要：Chain Ladder Model is the most used deterministic model in claims reserve. In this paper, we discuss a stochastic chain ladder model which modify the development factor by making use of the correlation between the paid payments and incurred payments. The aim is to decrease the discrepancy between the outstanding claims reserves. We firstly introduce the common stochastic chain ladder model, combined with the model based on bootstrap and obtain the predictive distribution of the total reserve. Numerical examples which implemented with R software are provided.Finally, The results can improve the accuracy and su_ciency of the reserves liability.
时 间：2015年4月22日 14：30—16：00
地 点：光华楼1802会议室
主办单位：金融安全协同创新中心
主讲人简介：
张勇，男，1980年生，保险学博士（毕业于南开大学），高级程序员。本科毕业后曾在上海盛大网络有限公司任职。2009年起，在西南财经大学保险学院任教。主要研究方向为保险精算、偿付能力监管，曾在《保险研究》等期刊上发表高水平论文。
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