Bonus‐Malus Scales in Segmented Tariffs With Stochastic Migration Between Segments

Natacha Brouhns · Montserrat Guillén · Michel M. Denuit · Jean Pinquet

62 citations0/0 files storedJournal of Risk & Insurance

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Probability and Risk Models Insurance and Financial Risk Management Insurance, Mortality, Demography, Risk Management

Abstract

Abstract This article proposes a computer‐intensive methodology to build bonus‐malus scales in automobile insurance. The claim frequency model is taken from Pinquet, Guillén, and Bolancé (2001) . It accounts for overdispersion, heteroskedasticity, and dependence among repeated observations. Explanatory variables are taken into account in the determination of the relativities, yielding an integrated automobile ratemaking scheme. In that respect, it complements the study of Taylor (1997) .

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References

1995Bonus-Malus Systems in Automobile Insurance 1992Automobile insurance ratemaking in the presence of asymmetrical information 1989A Generalization of Automobile Insurance Rating Models: The Negative Binomial Distribution with a Regression Component 1994Modelling the Claims Process in the Presence of Covariates 1976A credibility theory for automobile bonus systems 2001Allowance for the Age of Claims in Bonus-Malus Systems

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2008A priori ratemaking using bivariate Poisson regression models 2021Boosting Poisson regression models with telematics car driving data 2014OPTIMAL BONUS-MALUS SYSTEMS USING FINITE MIXTURE MODELS 2021Recent Challenges in Actuarial Science

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