Analysis of relativity premium in bonus-malus system based on optimal linear method

DOI10.1155/2014/846407MaRDI QIDQ1719245zbMATH OpenOpenAlexWikidataFDO

Authors Yu Chen, Long Li

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/846407

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

Summary: A bonus-malus system plays a very important role in actuarial mathematics through determining its relativity premium, which is extensively used in automobile insurance. There are many ways including Bayesian estimator and ordinary linear estimator to calculate the relativity premium. There is no doubt that Bayesian estimator is the most accurate estimator; however, it is undesirable for commercial purposes for its rather irregular pattern. This paper aims to introduce an optimal linear estimator for relativity premium, which has a simple pattern and is obtained under the quadratic loss function such that the result is close to Bayesian method. The Loimaranta efficiency of such an optimal linear estimator has been studied and compared with the two methods mentioned above.

Recommendations

• Optimal relativities and transition rules of a bonus-malus system
• Bemerkungen zur Optimalität von Bonus/Malus-Systemen
• Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance
• Designing Optimal Bonus-Malus Systems from Different Types of Claims
• Generalized bonus-malus systems with a frequency and a severity component on an individual basis in automobile insurance

Cites work

• A credibility theory for automobile bonus systems
• Actuarial Modelling of Claim Counts
• Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance
• Generalized bonus-malus systems with a frequency and a severity component on an individual basis in automobile insurance
• On bonus systems with credibility scales
• Using Mixed Poisson Processes in Connection with Bonus-Malus Systems

Cited in

(1)

• An Application of Linear Programming to Bonus Malus System Design

This page was built for publication: Analysis of relativity premium in bonus-malus system based on optimal linear method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1719245)