Bonus-malus systems with two-component mixture models arising from different parametric families

<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/MARC21/slim http://www.loc.gov/standards/marcxml/schema/MARC21slim.xsd">
  <record>
    <leader>00000cab a2200000   4500</leader>
    <controlfield tag="001">MAP20180017018</controlfield>
    <controlfield tag="003">MAP</controlfield>
    <controlfield tag="005">20180615131305.0</controlfield>
    <controlfield tag="008">180606e20180301usa|||p      |0|||b|eng d</controlfield>
    <datafield tag="040" ind1=" " ind2=" ">
      <subfield code="a">MAP</subfield>
      <subfield code="b">spa</subfield>
      <subfield code="d">MAP</subfield>
    </datafield>
    <datafield tag="084" ind1=" " ind2=" ">
      <subfield code="a">6</subfield>
    </datafield>
    <datafield tag="100" ind1=" " ind2=" ">
      <subfield code="0">MAPA20140009800</subfield>
      <subfield code="a">Tzougas, George</subfield>
    </datafield>
    <datafield tag="245" ind1="1" ind2="0">
      <subfield code="a">Bonus-malus systems with two-component mixture models arising from different parametric families</subfield>
      <subfield code="c">George Tzougas, Spyridon Vrontos, Nicholas Frangos</subfield>
    </datafield>
    <datafield tag="520" ind1=" " ind2=" ">
      <subfield code="a">Two-component mixture distributions defined so that the component distributions do not necessarily arise from the same parametric family are employed for the construction of Optimal Bonus-Malus Systems (BMSs) with frequency and severity components. The proposed modeling framework is used for the first time in actuarial literature research and includes an abundance of alternative model choices to be considered by insurance companies when deciding on their Bonus-Malus pricing strategies. Furthermore, we advance one step further by assuming that all the parameters and mixing probabilities of the two component mixture distributions are modeled in terms of covariates. Applying Bayes' theorem we derive optimal BMSs either by updating the posterior probability of the policyholders' classes of risk or by updating the posterior mean and the posterior variance. The resulting tailor-made premiums are calculated via the expected value and variance principles and are compared to those based only on the a posteriori criteria. The use of the variance principle in a Bonus-Malus ratemaking scheme in a way that takes into consideration both the number and the costs of claims based on both the a priori and the a posterior classification criteria has not yet been proposed and can alter the resulting premiums significantly, providing the actuary with useful alternative tariff structures</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080592011</subfield>
      <subfield code="a">Modelos actuariales</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080557379</subfield>
      <subfield code="a">Bonus-malus</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080602437</subfield>
      <subfield code="a">Matemática del seguro</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080579258</subfield>
      <subfield code="a">Cálculo actuarial</subfield>
    </datafield>
    <datafield tag="650" ind1=" " ind2="4">
      <subfield code="0">MAPA20080590567</subfield>
      <subfield code="a">Empresas de seguros</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20180008108</subfield>
      <subfield code="a">Vrontos, Spyridon</subfield>
    </datafield>
    <datafield tag="700" ind1="1" ind2=" ">
      <subfield code="0">MAPA20180008115</subfield>
      <subfield code="a">Frangos, Nicholas</subfield>
    </datafield>
    <datafield tag="773" ind1="0" ind2=" ">
      <subfield code="w">MAP20077000239</subfield>
      <subfield code="t">North American actuarial journal</subfield>
      <subfield code="d">Schaumburg : Society of Actuaries, 1997-</subfield>
      <subfield code="x">1092-0277</subfield>
      <subfield code="g">05/03/2018 Tomo 22 Número 1 - 2018 , p. 55-91</subfield>
    </datafield>
  </record>
</collection>