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On the Convergence Rate of Bonus-Malus Systems

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  • Bonsdorff, Heikki

Abstract

Under certain conditions, a Bonus-Malus system can be interpreted as a Markov chain whose n-step transition probabilities converge to a limit probability distribution. In this paper, the rate of the convergence is studied by means of the eigenvalues of the transition probability matrix of the Markov chain.

Suggested Citation

  • Bonsdorff, Heikki, 1992. "On the Convergence Rate of Bonus-Malus Systems," ASTIN Bulletin, Cambridge University Press, vol. 22(2), pages 217-223, November.
    • Handle: RePEc:cup:astinb:v:22:y:1992:i:02:p:217-223_00
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    Cited by:

    1. Pablo J. Villacorta & Laura González-Vila Puchades & Jorge de Andrés-Sánchez, 2021. "Fuzzy Markovian Bonus-Malus Systems in Non-Life Insurance," Mathematics, MDPI, vol. 9(4), pages 1-23, February.
    2. Anna Szymańska, 2015. "Impact of the number of classes and transition rules of bonus-malus system on its efficiency in tariff setting," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 37, pages 253-268.
    3. Søren Asmussen, 2014. "Modeling and Performance of Bonus-Malus Systems: Stationarity versus Age-Correction," Risks, MDPI, vol. 2(1), pages 1-25, March.

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