Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/86783


Title: 利用預測分析-篩選及檢視再保險契約中之承保風險
Selecting and Monitoring Insurance Risk on Reinsurance Treaties Using Predictive Analysis
Authors: 吳家安
Wu, Chiao-An
Contributors: 張士傑
Chang, Shih-Chieh
吳家安
Wu, Chiao-An
Keywords: 預測分佈
簡單重點重複抽樣法
蒙地卡羅模擬
吉普生抽樣法
比例再保險契約
超額損失再保險契約
Predictive distribution
Simple Importance-Resampling
Monte Carlo simulation
Gibbs sampling
Pro rata
Excess of loss
Date: 1998
Issue Date: 2016-04-27 16:43:10 (UTC+8)
Abstract: 傳統的保險人在面對保險契約所承保的風險時,常會藉由國際上的再保險市場來分散其保險風險。由於所承保險事件的不確定性,保險人需要謹慎小心評估其保險風險並將承保風險轉移至再保險人。再保險有兩種主要的保險型式,可區分成比例再保契約及超額損失再保契約,保險人將利用這些再保險契約來分散求償給付時的損失,加強保險人本身的財務清償能力。
Insurers traditionally transfer their insurance risk through the international reinsurance market. Due to the uncertainty of these insured risks, the primary insurer need to carefully evaluate the insured risk and further transfer these risks to his ceding reinsurers. There are two major types of reinsurance, i.e. pro rata treaty and excess of loss treaty, used in protecting the claim losses.
Abstract i
1. Introduction.........7
1.1 Literatures Reviews and Preliminary.........8
1.2 Reinsurance Prior.........14
1.3 Loss Distribution and Credibility issue in insurance financing.........16
2. Predictive Distribution in Reinsurance Treaties.........19
2.1 Define Predictive Distribution.........19
2.2 Define Pro Rata and Excess-of-loss Reinsurance Treaties.........21
3. Review of Non-Bayesian and Bayesian Analyses.........24
3.1 Non-Bayesian Approach (Frequency result).........24
3.1.1 Confidence regions for future realizations.........24
3.1.2 Maximum likelihood predicting density (MLPD).........25
3.2 Bayesian Approach.........26
3.2.1 Simple Importance-Resampling (SIR) Scheme.........28
3.2.2 Monte Carlo Integration.........30
3.2.3 Markov chain Monte Carlo Method (Gibbs sampler).........33
4. Model Construction and Numerical Illustration.........36
4.1 Modeling Processes.........37
4.2 Numerical Illustration:A case study of catastrophe protection.........38
4.3 Sampling Techniques.........46
4.4 Convergence of the Risk Parameters.........47
4.5 Predictive Loss Distribution.........49
4.6 Underwriting Process in Monitoring the Retention Risks.........53
5. Conclusion and Comments.........59
5.1 Summary and comments.........59
5.2 Future works.........60
Appendix.........64
References.........61
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Description: 碩士
國立政治大學
應用數學系
86751009
Source URI: http://thesis.lib.nccu.edu.tw/record/#B2002001688
Data Type: thesis
Appears in Collections:[應用數學系] 學位論文

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