论文标题
记录普通索赔模型，并带有普通冲击
Log normal claim models with common shocks
论文作者
论文摘要
本文关注的是建模受一个或多个常见冲击的多个主张阵列。它使用一种涉及非常通用的结构，形成了细胞均值的特质和常见的冲击成分。电击产生的阵列之间或阵列中的单元格之间的依赖项也非常通用。所有这些都出现在先前的文献中，其中特质和冲击成分是加性的。这产生了不平衡冲击的尴尬。本文通过将这些组件定义为乘法来纠正这一点。为了适应多重性，假定主张阵列的个体单元格中的观测值是正常的。方便地，对数正常情况将参数估计减少为线性回归，在某些情况下，封闭形式的位置参数解决方案甚至分散参数的封闭形式解决方案。
This paper is concerned with modelling multiple claim arrays that are subject to one or more common shocks. It uses a structure that involves very general forms both idiosyncratic and common shock components of cell means. The dependencies between arrays, or between cells within an array, generated by the shocks are also of very general form. All of this appears in the prior literature, where the idiosyncratic and shock components are additive. This has created the awkwardness of unbalanced shocks. The present paper rectifies this by defining these components as multiplicative. Observations in individuals cells of claim arrays are assumed log normal (later log Tweedie) in order to accommodate the multiplicativity. Conveniently, the log normal case reduced parameter estimation to linear regression, yielding closed form solution of location parameters, and even of dispersion parameters in some cases.
