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| 概要 |
The random walk model was introduced and investigated by D. Heyer [1]. It is a loss development model, where the geometric Brownian motion, which is frequently used in Mathematical Finance (for exampl...e, recall the famous Black-Scholes option pricing formula), is applied to cumulative losses. While Heyer applied his model to estimating INBR (incurred but not yet reported) losses of each accident year, he made no observation on the year-on-year loss (the loss to be paid in the speci c future year). To estimate year-on-year losses is one of urgent issues in the non-life insurance industry. In this paper, as another application of the random walk model, the conditional distribution and the conditional con dence interval of the year-on-year loss to be paid in the specifi c future year, being given the cumulative losses of the present, will be investigated.続きを見る
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Mendeley出力
JMI2009A-1