Bonus-malus systems as Markov set-chains

被引：5
|
作者：
Niemiec, Malgorzata [1 ]
机构：
[1] Warsaw Sch Econ, Inst Econometr, PL-02554 Warsaw, Poland
来源：
ASTIN BULLETIN | 2007年 / 37卷 / 01期
关键词：
Markov set-chain; bonus-malus system; claim frequency;
D O I：
10.2143/AST.37.1.2020798
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：53 / 65
页数：13
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