Continuous Time Assumption in Insurance Premium Calculation and Bonus-Malus System

• Autorzy: Romaniuk M.
• Języki publikacji: EN

Abstrakty

EN

In this paper we discuss the introduction of continuous time assumption in automobile insurance premium calculation system for quadratic and LINEX loss functions. Such assumption corresponds to the situation when information and the premiums are continually flowing to the insurer. A short discussion on "hunger for bonus effect" for a model with the quadratic loss function is also included. Then we incorporate continuous time assumption into the classical bonus - malus system.

Słowa kluczowe

EN

insurance; automobile insurance; loss function; continuous time assumption

• Wydawca: Wydawnictwo Politechniki Łódzkiej
• Czasopismo: Journal of Applied Computer Science
• Rocznik: 2005
• Tom: Vol. 13, nr 2
• Strony: 107--118
• Opis fizyczny: Bibliogr. 7 poz.

Twórcy

autor

Romaniuk M.

• Systems Research Institute, Polish Academy of Sciences, ul. Newelska 6, 01-447 Warsaw, Poland,

Bibliografia

• [1] Bühlmann H.: Mathematical Methods in Risk Theory, Springer Verlag, Berlin, 1996.
• [2] McCutcheon J.J., Scott W.F.: An introduction to the mathematics of finance, Oxford, 1998.
• [3] Gerber H.U.: An Introduction to Mathematical Risk Theory, S.S. Huebner Foundation Monographs, University of Pennsylvania, 1979.
• [4] Lemaire J.: Automobile Insurance - Actuarial Models, Kluwer, 1985.
• [5] Romaniuk M.: Założenie ciągłości czasu w problemie obliczania składki ubezpieczeniowej. In: Z. Bubnicki, O. Hryniewicz, J. Węglarz (eds.), Badania operacyjne i systemowe 2004: Zastosowania, Exit, Warszawa, 2004.
• [6] Romaniuk M.: Continuous time assumption in insurance premium calculation and bonus - malus system. In: Byczkowska-Lipińska L., Szczepaniak P.S., Niedźwiedzińska H. (eds.), Proceedings of the 11th International Conference on "System Modelling Control", Zakopane, Poland, October 17-19, 2005.
• [7] Straub E.: Non-Life Insurance Mathematics, Springer-Verlag, Berlin, 1988.