Some Bounds of Outstanding Claims Reserve Distribution by NBUE

摘要：

In order to solve the reserve problem of the insurance company, this paper studies the Outstanding Claims Reserve(OCR) distribution function by establishing their queuing models. When the claim distribution is NBLE class, we use the character of the distribution class to analyze the OCR distribution. So we obtain some useful upper bounds and lower bounds of the OCR distribution by the mean and variance of the claim. Furthermore, we also give an example to illustrate the approximate effect of these bounds. This empirical results show that these bounds of the OCR are approximated to the truth and redound to reserve equal OCR for the insurance company.

关键词： Outstanding claims reserve queueing model distribution class

作者: Yan Liu Guangjun Zai

作者单位: School of Mathematics, ZhengZhou University, Zhengzhou, 450001, China School of Software Technology, ZhengZhou University, Zhengzhou, 450001, China

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 639-642

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）