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On the aggregation of experts' information in Bonus-Malus systems

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  • V'ictor Blanco
  • Jos'e M. P'erez-S'anchez

Abstract

We present in this paper a new premium computation principle based on the use of prior information from multiple sources for computing the premium charged to a policyholder. Under this framework, based on the use of Ordered Weighted Averaging (OWA) operators, we propose alternative collective and Bayes premiums and describe some approaches to compute them. Several examples illustrates the new framework for premium computation.

Suggested Citation

  • V'ictor Blanco & Jos'e M. P'erez-S'anchez, 2015. "On the aggregation of experts' information in Bonus-Malus systems," Papers 1511.03876, arXiv.org, revised Nov 2016.
    • Handle: RePEc:arx:papers:1511.03876
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    File URL: http://arxiv.org/pdf/1511.03876
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    References listed on IDEAS

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    1. Lemaire, Jean, 1979. "How to Define a Bonus-Malus System with an Exponential Utility Function," ASTIN Bulletin, Cambridge University Press, vol. 10(3), pages 274-282, December.
    2. Lemaire, Jean, 1988. "Construction of the New Belgian Motor Third Party Tariff Structure," ASTIN Bulletin, Cambridge University Press, vol. 18(1), pages 99-112, April.
    3. Morillo, Isabel & Bermudez, Lluis, 2003. "Bonus-malus system using an exponential loss function with an Inverse Gaussian distribution," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 49-57, August.
    4. Heilmann, Wolf-Rudiger, 1989. "Decision theoretic foundations of credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 8(1), pages 77-95, March.
    5. Gupta, Aparna & Li, Lepeng, 2007. "Integrating long-term care insurance purchase decisions with saving and investment for retirement," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 362-381, November.
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    Cited by:

    1. Joos, Michael & Staffell, Iain, 2018. "Short-term integration costs of variable renewable energy: Wind curtailment and balancing in Britain and Germany," Renewable and Sustainable Energy Reviews, Elsevier, vol. 86(C), pages 45-65.

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