IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v37y2007i01p53-65_01.html
   My bibliography  Save this article

Bonus-malus Systems as Markov Set-chains

Author

Listed:
  • Niemiec, Małgorzata

Abstract

The objective of this paper is to present an analysis of a bonus-malus system (BMS) within the framework of the theory of ergodic Markov set-chains. It is shown that this type of Markov chains enables the evaluation of BMS, even in steady-state, under the assumption that transition probabilities change in a definite range. We introduce a model that allows the determination of the consequences of changes in the claim frequency of a policyholder. In a numerical example we examine the BMS employed by one of the Polish insurance companies.

Suggested Citation

  • Niemiec, Małgorzata, 2007. "Bonus-malus Systems as Markov Set-chains," ASTIN Bulletin, Cambridge University Press, vol. 37(1), pages 53-65, May.
    • Handle: RePEc:cup:astinb:v:37:y:2007:i:01:p:53-65_01
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0515036100014732/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. Dhiti Osatakul & Xueyuan Wu, 2021. "Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment," Risks, MDPI, vol. 9(1), pages 1-23, January.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:37:y:2007:i:01:p:53-65_01. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.