자동차 보험 손해율에 관한 시계열 분석
Time series analysis for Loss Ratios of Automobile Insurance
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참고문헌
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초록
본 분석은 우리나라 보험손해율의 예측을 위한 확률모형의 개발과 그 응용에 관련된다. 이를 위해, 먼저 일정기간(1991-2003) 관측된 월별 자동차보험 손해율 자료의 통계적 분석을 통하여 이 계열의 회귀추세, 주기성, 계열적 종속성, 그리고 조건부 분산인 변동성 등 확률 및 통계적 특성을 파악한다. 다음은 이 특성들을 기초로 미래의 손해율 예측을 위한 자기회귀이분산모형을 개발하였다. 또한, 유도된 모형을 이용한 미래의 손해율의 예측에 대한 통계적 절차를 제안하였다.
Abstract
This paper is concerned with the development and application of a stochastic model for loss ratio of insurance. For this, the characteristics of the regression trend, periodicity, serially dependence and monthly volatility effect of the loss ratios are investigated by the statistical analysis of the monthly loss ratios of car insurance observed in Korea during 1991-2003. Based on these, autoregressive conditional heteroscedastic (ARCH) model for the prediction of monthly log loss ratios is derived. A statistical procedure for using the model to predict the loss ratios is also proposed.
참고문헌 (13)
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