Bonus-malus Systems as Markov Set-chains

DOI10.2143/AST.37.1.2020798MaRDI QIDQ3632828zbMATH OpenOpenAlexFDO

Authors Małgorzata Niemiec

Publication date 15 June 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.37.1.2020798

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Component bounds on markov set-chain limiting sets
• Markov set-chains

Cited in

(10)

• On asymptotic properties of Bonus–Malus systems based on the number and on the size of the claims
• Ergänzungen zu “Erweiterungen des Negativ-Binomial-Modells für Bonus/Malus-Systeme”
• ``Bonus hunger behavior in the alternative bonus-malus system
• On the spectral properties and convergence of the bonus-malus Markov chain model
• Stationary distributions of Markov chain models of the bonus-malus system
• Bonus-malus Systems in a Deregulated Environment: Forecasting Market Shares Using Diffusion Models
• On monotone likelihood ratio of stationary probabilities in bonus-malus systems
• Modal Interval Probability: Application to Bonus-Malus Systems
• Application of Mathematics to Risk and Insurance
• An extension of interval probabilities using modal interval theory and its application to non-life insurance

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