Please use this identifier to cite or link to this item:
http://hdl.handle.net/2445/213403
Title: | Computing Bonus-Malus premiums under partial prior information |
Author: | Gómez Déniz, Emilio Bermúdez, Lluís Morillo, Isabel |
Keywords: | Variables (Matemàtica) Estadística bayesiana Variables (Mathematics) Bayesian statistical decision |
Issue Date: | 1-Jun-2005 |
Publisher: | Cambridge University Press (CUP) |
Abstract: | The use of classical bonus–malus systems entails very high maluses and other problems which, during recent years, have been criticised by actuaries. To avoid these problems, new bonus–malus models have been developed. For instance, it is well known that the use of an exponential loss function reduces the differences between overcharges and undercharges, solving the problem of high maluses. In order to measure the sensitivity of the exponential bonus–malus system, and according to robust Bayesian analysis, we first model the structure function by specifying a subclass of the generalised moments class. We then examine the range of relativities for each prior. Finally, we illustrate our method with a numerical example based on real data. |
Note: | Reproducció del document publicat a: https://doi.org/10.1017/S1357321700003111 |
It is part of: | British Actuarial Journal, 2005, vol. 11, num.2, p. 361-374 |
URI: | http://hdl.handle.net/2445/213403 |
Related resource: | https://doi.org/10.1017/S1357321700003111 |
ISSN: | 1357-3217 |
Appears in Collections: | Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial) |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.