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2020-09-10

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Si us plau utilitzeu sempre aquest identificador per citar o enllaçar aquest document: https://hdl.handle.net/2445/207564

Modal Interval Probability: Application to Bonus-Malus Systems

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https://doi.org/https://doi.org/10.1142/S0218488520500361

Resum

Classical intervals have been a very useful tool to analyze uncertain and imprecise models, in spite of operative and interpretative shortcomings. The recent introduction of modal intervals helps to overcome those limitations. In this paper, we apply modal intervals to the field of probability, including properties and axioms that form a theoretical framework applied to the Markovian analysis of Bonus-Malus systems in car insurance. We assume that the number of claims is a Poisson distribution and in order to include uncertainty in the model, the claim frequency is defined as a modal interval; therefore, the transition probabilities are modal interval probabilities. Finally, the model is exemplified through application to two different types of Bonus-Malus systems, and the attainment of uncertain long-run premiums expressed as modal intervals.

Matèries

Probabilitats, Anàlisi d'intervals (Matemàtica), Matemàtica financera

Matèries (anglès)

Probabilities, Interval analysis (Mathematics), Business mathematics

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Articles publicats en revistes (Matemàtica Econòmica, Financera i Actuarial)

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ADILLÓN, Román, JORBA, Lambert and MÁRMOL, Maite. Modal Interval Probability: Application to Bonus-Malus Systems. International Journal of Uncertainty Fuzziness and Knowledge-Based Systems. 2020. Vol. 28, num. 5, pags. 837-851. ISSN 0218-4885. [consulted: 19 of July of 2026]. Available at: https://hdl.handle.net/2445/207564

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