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Statistical approach for open bonus malus
Recurso electrónico / electronic resource
MAP20140013838
Guerreiro, Gracinda Rita ‌
Statistical approach for open bonus malus / Gracinda Rita Guerreiro, João Tiago Mexia, Maria de Fátima Miguens
Sumario: In 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
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 06/01/2014 Volumen 44 Número 1 - enero 2014
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