Using Mixed Poisson Processes in Connection with Bonus-Malus Systems

Jean‐François Walhin

42 citations0/0 files storedAstin Bulletin

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Probability and Statistical Research Insurance, Mortality, Demography, Risk Management

Abstract

Abstract For the construction of bonus-malus systems, we propose to show how to apply, thanks to simple mathematics, a parametric method encompassing those encountered in the literature. We also compare this parametric method with a non-parametric one that has not yet been used in the actuarial literature and that however permits a simple formulation of the stationary and transition probabilities in a portfolio whenever we have the intention to construct a bonus-malus system with finite number of classes.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 42 citations exist upstream.

References

1979An introduction to mathematical risk theory 1981Recursive Evaluation of a Family of Compound Distributions 1976Maximum Likelihood Estimation of a Compound Poisson Process 1987Automobile Insurance: Actuarial Models 1985Automobile Insurance 1992Using the Poisson Inverse Gaussian in Bonus-Malus Systems 1972Some asymptotic properties of bonus systems

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.