Expected Premium in the Model of Bonus-Malus System Fair by Transitions Rules

• Autorzy: Maria Podgórska
• Języki publikacji: EN

Abstrakty

EN

The subject of the .paper are basic properties of bonus-malus system fair by the transition rules between classes (BMSFTR), of which definition excludes unrealistic bonus-malus systems. The paper presents an ergodic Markov chain which is a BMSFTR model and which allows to analyze the properties of expected value of insurance premium according to the features characterizing an insured and a system i.e. claims frequency, class in the initial year, insurance duration and maximum number of claims acknowledged in the system (original abstract)

Słowa kluczowe

PL

Łańcuch Markowa; Systemy bonus-malus

EN

Markov chain; Bonus-malus system

• Czasopismo: Roczniki Kolegium Analiz Ekonomicznych / Szkoła Główna Handlowa
• Rocznik: 2008
• Numer: nr 18 Modelling and analysis of automobile insurance and financial markets
• Strony: 25-41

Twórcy

autor

Maria Podgórska

• Szkoła Główna Handlowa w Warszawie

Bibliografia

• Kryszeń B. (2005) Expected insurance premium in bonus-malus systems as a non-decreasing function of clain frequency (in Polish), Annals of Collegium of Economics Analyses, Volume 14, pp. 45-57.
• Lamaire J. (1995), Bonus-Malus Sysyems in Automobile Insurance, Kluwer Academic Publisher, Boston.
• Podgórska M. (2008), Bonus-malus sysyems fair in the sense of transitions between classes (in Polish), in: Actuarial Statistics-theory and applications, Wrocław, pp.206-231.
• Podgórska M., Cieślik B.,Kryszeń B., Niemiec M., Topolewski M. (2006) Fair bonus-malus systems in the sense of transitions between classes (in Polish), Insitute of Economietrics, Warsaw School of Economics, Warsaw.
• Podgórska M., Kryszeń B., Niemiec M. (2008), Fair bonus-malus systems in the sense of transitions between classes (in Polish), Annales of Collegium of Economic Analyses, Volume 18, pp. 11-24.
• Podgórska M., Śliwka P., Topolewski M., Wrzosek M. (2003), Markov chains in theory and applications (in Polish), Warsaw School of Economics, Warsaw.