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

DOI10.1017/ASB.2017.25zbMATH Open1390.62203arXiv1511.03876OpenAlexW3124326896MaRDI QIDQ5745196FDOQ5745196

Authors: Víctor Blanco, José M. Pérez-Sánchez 

Publication date: 5 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

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.

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

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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)

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