Article contents
Bonus-malus Systems as Markov Set-chains
Published online by Cambridge University Press: 17 April 2015
Abstract
The objective of this paper is to present an analysis of a bonus-malus system (BMS) within the framework of the theory of ergodic Markov set-chains. It is shown that this type of Markov chains enables the evaluation of BMS, even in steady-state, under the assumption that transition probabilities change in a definite range. We introduce a model that allows the determination of the consequences of changes in the claim frequency of a policyholder. In a numerical example we examine the BMS employed by one of the Polish insurance companies.
- Type
- Articles
- Information
- Copyright
- Copyright © ASTIN Bulletin 2007
References
- 2
- Cited by