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
相关论文
共 50 条
  • [21] Bonus-malus regulation in prescription of triptans
    Diener, H. C.
    AKTUELLE NEUROLOGIE, 2007, 34 (05) : 261 - 261
  • [22] Robust Bayesian analysis in hierarchical Bonus-Malus systems.
    Gómez, DE
    Pérez, SJM
    Vázquez, PFJ
    INSURANCE MATHEMATICS & ECONOMICS, 2003, 33 (02): : 431 - 431
  • [23] OPTIMAL BONUS-MALUS SYSTEMS USING FINITE MIXTURE MODELS
    Tzougas, George
    Vrontos, Spyridon
    Frangos, Nicholas
    ASTIN BULLETIN, 2014, 44 (02): : 417 - 444
  • [24] A BONUS-MALUS SYSTEM BASED ON DEDUCTIBLES
    Stolin, Radek
    PROCEEDINGS OF THE INTERNATIONAL CONFERENCE: QUANTITATIVE METHODS IN ECONOMICS: MULTIPLE CRITERIA DECISION MAKING XVIII, 2016, : 343 - 348
  • [25] Measuring sensitivity in a bonus-malus system
    Gómez, E
    Hernández, A
    Pérez, JM
    Vázquez-Polo, FJ
    INSURANCE MATHEMATICS & ECONOMICS, 2002, 31 (01): : 105 - 113
  • [26] A bonus-malus approach to project management
    Rodica Branzei
    Giulio Ferrari
    Vito Fragnelli
    Stef Tijs
    Central European Journal of Operations Research, 2011, 19 : 495 - 512
  • [27] Asymptotic fairness of bonus-malus systems and optimal scales of premiums
    Heras, A
    Vilar, JL
    Gil, JA
    GENEVA PAPERS ON RISK AND INSURANCE THEORY, 2002, 27 (01): : 61 - 82
  • [28] Quantitative Analysis of Efficiency of Bonus-Malus Systems in Visegrad countries
    Skrivankova, Valeria
    Tarbajova, Barbora
    FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 10TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-IV, 2015, : 1149 - 1157
  • [29] A bonus-malus approach to project management
    Branzei, Rodica
    Ferrari, Giulio
    Fragnelli, Vito
    Tijs, Stef
    CENTRAL EUROPEAN JOURNAL OF OPERATIONS RESEARCH, 2011, 19 (04) : 495 - 512
  • [30] THE MARKOV CHAINS (MARKOV SET-CHAINS) AS A TOOL FOR BACTERIAL GENOMES EVOLUTION ANALYSIS
    Sliwka, P.
    Dudkiewicz, M.
    BIOMAT 2008, 2009, : 235 - +
12345