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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/213403
Computing Bonus-Malus premiums under partial prior information
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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.
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GÓMEZ DÉNIZ, Emilio, BERMÚDEZ, Lluís and MORILLO, Isabel. Computing Bonus-Malus premiums under partial prior information. British Actuarial Journal. 2005. Vol. 11, num. 2, pags. 361-374. ISSN 1357-3217. [consulted: 16 of October of 2026]. Available at: https://hdl.handle.net/2445/213403