STATISTICAL APPROACH FOR OPEN BONUS MALUS
Copyright policy )STATISTICAL APPROACH FOR OPEN BONUS MALUS
AbstractIn this paper, following an open portfolio approach, we show how to estimate a Bonus-malus system evolution.Considering a model for the number of new annual policies, we obtain ML estimators, asymptotic distributions and confidence regions for the expected number of new policies entering the portfolio in each year, as well as for the expected number and proportion of insureds in each bonus class, by year of enrollment. Confidence regions for the distribution of policyholders result in confidence regions for optimal bonus scales.Our treatment is illustrated by an example with numerical results.
Applications of statistics to actuarial sciences and financial mathematics, Markov chains, limit distribution, bonus-malus systems, stochastic vortices, open portfolio, Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.), Risk theory, insurance, statistical inference
Applications of statistics to actuarial sciences and financial mathematics, Markov chains, limit distribution, bonus-malus systems, stochastic vortices, open portfolio, Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.), Risk theory, insurance, statistical inference
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