在对IBNR准备金估计的随机模型存在的不足进行分析的基础上,对采用二阶段广义线性模型得到的各单元IBNR准备金估计和的分布问题进行讨论.在考虑折现因子的基础上,采用同单调理论,得到各单元准备金估计的和在凸序意义下的随机界,并通过一个实例对所述方法进行验证.
The drawbacks of stochastic models which have been used in IBNR claims reserve are discussed briefly. The distribution of the sum of cells in lower triangle which have been estimated by using two-stage generalized linear models is discussed. Stochastic bounds for the sum of cells are obtained by using comonotonicity theory while the discount factors are involved. An example is showed to illustrate the method.