On the aggregation of experts' information in bonus-malus systems

DOI10.1017/ASB.2017.25MaRDI QIDQ5745196zbMATH OpenOpenAlexFDO

Authors Víctor Blanco, José M. Pérez-Sánchez

Publication date 5 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.03876

zbMATH Keywords

Bayesian statisticsmathematical programmingordered weighted averagingnon-life insurancepremium calculation principles

Mathematics Subject Classification ID

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

Abstract: We present in this paper a new premium computation principle based on the use of prior information from multiple sources for computing the premium charged to a policyholder. Under this framework, based on the use of Ordered Weighted Averaging (OWA) operators, we propose alternative collective and Bayes premiums and describe some approaches to compute them. Several examples illustrates the new framework for premium computation.

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