Centro de Documentacion de Fundación MAPFRE - Ruin probabilities and capital requirement for open automobile portfolios with a Bonus-Malus System based on claim counts

Notas: Sumario: For a large motor insurance portfolio, on an open environment, we study the impact of experience rating in finite and continuous time ruin probabilities. We consider a model for calculating ruin probabilities applicable to large portfolios with a Markovian Bonus Malus System (BMS), based on claim counts, for an automobile portfolio using the classical risk framework model. New challenges are brought when an open portfolio scenario is introduced. When compared with a classical BMS approach ruin probabilities may change significantly. By using a BMS of a Portuguese insurer, we illustrate and discuss the impact of the proposed formulation on the initial surplus required to target a given ruin probability. Under an open portfolio setup, we show that we may have a significant impact on capital requirements when compared with the classical BMS, by having a significant reduction on the initial surplus needed to maintain a fixed level of the ruin probability.Registros relacionados: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/06/2020 Volumen 87 Número 2 - junio 2020 , p. 501-522Materia / lugar / evento: Probabilidad de ruina Bonus-malus Modelos actuariales Seguro de automóviles Empresas de seguros Otros autores: Afonso, Lourdes B.
Cardoso, Rui M. R.
Egídio dos Reis, Alfredo D.
Guerreiro, Gracinda Rita
Outras classificações: 6

Direitos: In Copyright (InC)

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