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Using the Poisson Inverse Gaussian in Bonus-Malus Systems

Published online by Cambridge University Press:  29 August 2014

Luc Tremblay
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Abstract

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In this paper, we will cover the bonus-malus system in automobile insurance. Bonus-malus systems are based on the distribution of the number of car accidents. Therefore, the modelling and fitting of that distribution are considered. Fitting of data is done using the Poisson inverse Gaussian distribution, which shows a good fit. Building the bonus system is done by minimizing the insurer's risk, according to Lemaire's (1985) bonus system.

Keywords

Mixed Poisson distributionPoisson inverse Gaussiangeneralized inverse GaussianBayes theoremquadratic loss functionexponential utility function
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 22 , Issue 1 , May 1992 , pp. 97 - 106
Copyright
Copyright © International Actuarial Association 1992

References

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