Abstract
It is shown how the stationary distributions of a bonus-malus system can be computed recursively it is further shown that there is an intrinsic relationship between such a stationary distribution and the probability of rum in the risk- theoretical model The recursive algorithm is applied to the Swiss bonus-malus system for automobile third-party liability and can be used to evaluate ruin probabilities.
Keywords Bonus-malus, stationary distributions; probability of ruin.
Volume
18:1
Page
31-46
Year
1988
Categories
Actuarial Applications and Methodologies
Ratemaking
Experience Rating
Business Areas
Automobile
Personal
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Publications
ASTIN Bulletin
