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| 损失分布模型× | 破产论× | |
|---|---|---|
| 领域 | 精算学 | 精算学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2012 | 2010 |
| 提出者≠ | Klugman, Panjer & Willmot | Filip Lundberg; Harald Cramér |
| 类型≠ | Parametric probability model | Stochastic risk process model |
| 开创性文献≠ | Klugman, S. A., Panjer, H. H., & Willmot, G. E. (2012). Loss Models: From Data to Decisions (4th ed.). Wiley. ISBN: 978-1-118-31532-3 | Asmussen, S., & Albrecher, H. (2010). Ruin Probabilities (2nd ed.). World Scientific. ISBN: 978-981-4282-52-9 |
| 别名 | Severity-Frequency Model, Aggregate Loss Model, Claim Size Distribution Model, Hasar Dağılımı Modeli | Collective Risk Theory, Cramér-Lundberg Theory, Probability of Ruin Analysis, Hasar Süreci Çöküş Teorisi |
| 相关 | 3 | 3 |
| 摘要≠ | A Loss Distribution Model is a parametric statistical framework used in actuarial science to characterise the probabilistic behaviour of insurance claim amounts and frequencies. Developed comprehensively by Klugman, Panjer, and Willmot in their foundational text Loss Models: From Data to Decisions (first edition 1998, fourth edition 2012), these models underpin premium rating, reserving, reinsurance pricing, and regulatory capital calculations across the insurance and risk-management industries. | Ruin Theory models the stochastic surplus process of an insurance company to quantify the probability that accumulated losses eventually exceed available capital. Introduced by Filip Lundberg in his 1903 doctoral thesis and rigorously unified by Harald Cramér in 1930, the classical Cramér-Lundberg model assumes premiums arrive at a constant rate, claims follow a compound Poisson process, and individual claim sizes are independent and identically distributed. It remains the foundational framework of collective risk theory in actuarial science. |
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