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Setting a Bonus-Malus Scale in the Presence of Other Rating Factors: Taylor's Work Revisited

Published online by Cambridge University Press:  17 April 2015

Sandra Pitrebois ,
Michel Denuit  and
Jean-François Walhin
Sandra Pitrebois
Affiliation:
Secura Belgian Re, Avenue des Nerviens, 9-13 boîte 6, B-1040 Bruxelles, Belgium
Michel Denuit
Affiliation:
Institut de Statistique, Université Catholique de Louvain, Voie du Roman Pays, 20 B-1348 Louvain-la-Neuve, Belgium Institut des Sciences Actuarielles, Université Catholique de Louvain Grand-Rue, 54 B-1348 Louvain-la-Neuve, Belgium
Jean-François Walhin
Affiliation:
Secura Belgian Re, Avenue des Nerviens, 9-13 boîte 6, B-1040 Bruxelles, Belgium Institut des Sciences Actuarielles, Université Catholique de Louvain Grand-Rue, 54 B-1348 Louvain-la-Neuve, Belgium
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Abstract

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In this paper, we propose an analytic analogue to the simulation procedure described in Taylor (1997). We apply the formulas to a Belgian data set and discuss the interaction between a priori and a posteriori ratemakings.

Keywords

Bonus-Malus systemMarkov chainsa priori ratemakingexperience rating

Information

Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 33 , Issue 2 , November 2003 , pp. 419 - 436
Copyright
Copyright © ASTIN Bulletin 2003

References

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