## ＜学術雑誌論文＞The random walk model revisited

作成者 作成者名 所属機関 所属機関名 Nisshin Fire & Marine Insurance Co., Ltd 日新火災海上保険 著者識別子 作成者名 所属機関 所属機関名 Faculty of Mathematics, Kyushu University 九州大学大学院数理学研究院 英語 Faculty of Mathematics, Kyushu University 九州大学大学院数理学研究院 2009-04-08 1 A 1 6 Version of Record open access JMI ; 2009A-1 Journal of Math-for-Industry || 1(A) || p1-6 JMI || 1(A) || p1-6 http://gcoe-mi.jp/ Journal of Math-for-Industry || 1(A) || p1-6 JMI || 1(A) || p1-6 http://gcoe-mi.jp/ JMI ; 2009A-1 Journal of Math-for-Industry || 1(A) || p1-6 JMI || 1(A) || p1-6 http://gcoe-mi.jp/ 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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レコードID 13968 査読有 random walk model IBNR geometric Brownian motion distribution con dence interval cumulative loss MI: Global COE Program Education-and-Research Hub for Mathematics-for-Industry グローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点」 学術雑誌論文 2011.02.22 2017.12.07