Joint optimization of transition rules and the premium scale in a bonus-malus system

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<dc:creator>Csaba Ágoston, Kolos </dc:creator>
<dc:creator>Gyetvai, Márton </dc:creator>
<dc:date>2020-09-01</dc:date>
<dc:description xml:lang="es">Sumario: Bonus-malus systems (BMSs) are widely used in actuarial sciences. These systems are applied by insurance companies to distinguish the policyholders by their risks. The most known application of BMS is in automobile third-party liability insurance. In BMS, there are several classes, and the premium of a policyholder depends on the class he/she is assigned to. The classification of policyholders over the periods of the insurance depends on the transition rules. In general, optimization of these systems involves the calculation of an appropriate premium scale considering the number of classes and transition rules as external parameters. Usually, the stationary distribution is used in the optimization process. In this article, we present a mixed integer linear programming (MILP) formulation for determining the premium scale and the transition rules. We present two versions of the model, one with the calculation of stationary probabilities and another with the consideration of multiple periods of the insurance. Furthermore, numerical examples will also be given to demonstrate that the MILP technique is suitable for handling existing BMSs.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/173041.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Bonus-malus</dc:subject>
<dc:subject xml:lang="es">Ciencias Actuariales y Financieras</dc:subject>
<dc:subject xml:lang="es">Asegurados</dc:subject>
<dc:subject xml:lang="es">Primas de seguros</dc:subject>
<dc:subject xml:lang="es">Cálculo de probabilidades</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Joint optimization of transition rules and the premium scale in a bonus-malus system</dc:title>
<dc:relation xml:lang="es">En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2020 Volumen 50 Número 3 - septiembre 2020 , p. 743-776</dc:relation>
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