Hostname: page-component-cd9895bd7-gvvz8 Total loading time: 0 Render date: 2024-12-23T18:42:06.180Z Has data issue: false hasContentIssue false
  • English
  • Français

Setting a Bonus-Malus Scale in the Presence of Other Rating Factors: Taylor's Work Revisited

Published online by Cambridge University Press:  17 April 2015

Sandra Pitrebois ,
Michel Denuit  and
Jean-François Walhin
Sandra Pitrebois
Affiliation:
Secura Belgian Re, Avenue des Nerviens, 9-13 boîte 6, B-1040 Bruxelles, Belgium
Michel Denuit
Affiliation:
Institut de Statistique, Université Catholique de Louvain, Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve, Belgium Institut des Sciences Actuarielles, Université Catholique de Louvain Grand-Rue, 54 B-1348 Louvain-la-Neuve, Belgium
Jean-François Walhin
Affiliation:
Secura Belgian Re, Avenue des Nerviens, 9-13 boîte 6, B-1040 Bruxelles, Belgium Institut des Sciences Actuarielles, Université Catholique de Louvain Grand-Rue, 54 B-1348 Louvain-la-Neuve, Belgium
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

In this paper, we propose an analytic analogue to the simulation procedure described in Taylor (1997). We apply the formulas to a Belgian data set and discuss the interaction between a priori and a posteriori ratemakings.

Keywords

Bonus-Malus systemMarkov chainsa priori ratemakingexperience rating
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 2 , November 2003 , pp. 419 - 436
Copyright
Copyright © ASTIN Bulletin 2003

References

Borgan, Ø, Hoem, J.M. and Norberg, R. (1981) A nonasymptotic criterion for the evaluation of automobile bonus systems. Scandinavian Actuarial Journal, 265–178.Google Scholar
Boskov, M. and Verrall, R.J. (1994) Premium rating by geographical area using spatial models. ASTIN Bulletin 24, 131–143.CrossRefGoogle Scholar
Brouhns, N. and Denuit, M. (2003) Applications des modèles généralisés additifs à l'assurance automobile. Manuscript.Google Scholar
Brouhns, N., Denuit, M., Masuy, B. and Verrall, R. (2002) Ratemaking by geographical area in the Boskov and Verrall model: a case study using Belgian car insurance data. actu-L 2, 3–28.Google Scholar
Brouhns, N., Guillén, M., Denuit, M. and Pinquet, J. (2003) Optimal bonus-malus scales in segmented tariffs. Journal of Risk and Insurance, in press.Google Scholar
Centeno, M. and Silva, J.M.A. (2001) Bonus systems in an open portfolio. Insurance: Mathematics & Economics 28, 341–350.Google Scholar
Dionne, G., and Vanasse, C. (1989) A generalization of actuarial automobile insurance rating models: the Negative Binomial distribution with a regression component. ASTIN Bulletin 19, 199–212.CrossRefGoogle Scholar
Lemaire, J. (1995) Bonus-Malus Systems in Automobile Insurance. Kluwer Academic Publisher, Boston.CrossRefGoogle Scholar
Norberg, R. (1976) A credibility theory for automobile bonus system. Scandinavian Actuarial Journal, 92–107.CrossRefGoogle Scholar
Rolski, T., Schmidli, H., Schmidt, V. and Teugels, J. (1999) Stochastic Processes for Insurance and Finance. John Wiley & Sons, New York.CrossRefGoogle Scholar
Taylor, G. (1997) Setting a Bonus-Malus scale in the presence of other rating factors. ASTIN Bulletin 27, 319–327.CrossRefGoogle Scholar