论文标题
MCUBE：多项式微型保留模型
mCube: Multinomial Micro-level reserving Model
论文作者
论文摘要
本文介绍了多项式多状态的微型预订模型，表示Mcube。我们提出了一个统一的框架，用于建模IBNR和RBNS索赔的时间和付款过程以及对IBNR索赔计数进行建模。我们在时间过程中使用多项式分布，并为付款过程使用剪接的混合模型。我们说明了拟议模型在由人身伤害索赔组成的主要保险公司的真实数据集上的出色表现。结果表明，所提出的模型产生的最佳估计分布围绕着真正的储备。
This paper presents a multinomial multi-state micro-level reserving model, denoted mCube. We propose a unified framework for modelling the time and the payment process for IBNR and RBNS claims and for modeling IBNR claim counts. We use multinomial distributions for the time process and spliced mixture models for the payment process. We illustrate the excellent performance of the proposed model on a real data set of a major insurance company consisting of bodily injury claims. It is shown that the proposed model produces a best estimate distribution that is centered around the true reserve.
