賠款準備金估算模式之模擬評估

賠款準備金一向被產險公司列為負債之一項目，而此金額的提存與產險公司的資金運用和清償能力息息相關，因此估計賠款準備金金額被業者視為一項非常重要的課題。本文假設各事故年度之賠款資料為一時間序列，引用自我相關迴歸過程以及介入模型，經由模擬分析比較各種賠款準備金估算方法之優劣性。結果發現迴歸模式為最佳的估算方法而且其估計值亦非常穩定。
關鍵字：賠款準備金、時間序列、自我迴歸模式、介入模型

A Comparative Study of Loss Reserve Methods through Simulations

　　　　　　　　　　　(Chia-Ming Chang)＊(Wen-Chiung Lee)＊(Chin-Chia Wu)

Loss reserves play a key role in property and casualty insurance companies. They are used to determine the liability as well as the operating profit of the insurer. In this paper, claim losses are viewed as a time series. Several well-known loss reserve estimation methods are compared through simulating the data with stationary autoregressive and intervention models. It is found that the regression model outperforms the others.
Keywords: loss reserve method, time series model, autoregressive process, intervention model