共同效应结构下的分位数信度模型
Quantile Credibility Models under Common Effect Structure
DOI: 10.12677/SA.2019.82030, PDF,    国家自然科学基金支持
作者: 程 纪*, 吴黎军：新疆大学，数学与系统科学学院，新疆 乌鲁木齐
关键词: 共同效应；正交投影；分位数；信度模型； Common Effect； Orthogonal Projection； Quantile； Credibility Model
摘要: 在非寿险应用研究中，经典的Bühlmann信度模型并不能充分利用数据尾部的信息，且保单之间的风险并不是完全独立的，因而考虑在分位数视角下结合信度理论，综合风险之间存在的共同效应，研究了具有共同效应的分位数信度模型，拓展了经典的信度模型。
Abstract: In non-life insurance application research, the classical Bühlmann credibility model cannot effectively reflect the tail information of distribution, and the policy between the risks is not completely independent. Therefore, considering the common effect between risks and combining the credibility theory from the perspective of quantile, the quantile credibility models under common effect structure are studied, which further expands the classical credibility model.
文章引用：程纪, 吴黎军. 共同效应结构下的分位数信度模型[J]. 统计学与应用, 2019, 8(2): 270-276. https://doi.org/10.12677/SA.2019.82030

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