Primele de credibilitate la nivelul sectorului şi a contractului pentru modelul ierarhic cu 2 nivele a lui Jewell
Journal Title: Revista Romana de Statistica - Year 2012, Vol 60, Issue 1
Abstract
Acest articol prezintă un model de credibilitate şi contabilitate actuarială, mai precis modelul ierarhic al lui Jewell, care este o generalizare a modelului Bühlmann-Straub la modelele ierarhice cu 2 nivele. Fie, aşadar, un portofoliu de contracte, care poate fi împărţit în sub-portofolii (sectoare), fiecare constând în grupe (clase) de contracte aproape omogene. Sectorul este caracterizat de un parametru de risc extras dintr-o densitate de structură, care descrie eterogenitatea dintre sectoare. Dat fiind sectorul, grupul de contracte este caraterizat printr-un alt parametru de risc. Rezultă schema ierarhică cu 2 nivele din diagrama 1 de mai jos. Actuarul de marcă Jewell a generalizat diagrama 1, în sensul acceptării contractelor derivate prin luarea mediei unui grup de contracte individuale şi asocierea corespunzătoare a ponderilor.
Authors and Affiliations
Gheorghe LEPĂDATU, Virginia ATANASIU, Mihaela Daniela VLADU
Keywords
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