How to Define a Bonus-Malus System with an Exponential Utility Function

We compute a merit-rating system for automobile third party liability insurance by two different ways, b o t h with the help of an exponential utility function O) We apply the principle of zero utility to exponential utilities (n) We break the symmetry between the overcharges and the undercharges by weighing them differently through the introduction of utility function, in order to penalize the overcharges. The results are applied to the portfolio of a Belgium company and compared to the premium system provided by t h e expected value principle