On the evaluation of the asymptotic fairness of bonus-malus systems
dc.contributor.author | Heras Martínez, Antonio José | |
dc.contributor.author | Vilar Zanón, José Luis | |
dc.contributor.author | Gil Fana, José Antonio | |
dc.date.accessioned | 2023-06-21T01:43:37Z | |
dc.date.available | 2023-06-21T01:43:37Z | |
dc.date.issued | 2001 | |
dc.description.abstract | In this paper we try to evaluate the asymptotic fairness of bonus-malus systems, assuming the simplest case when there is no hunger for bonus.The asymptotic fairness has to be understood as the bonus-malus systemability in assessing the individual risks in the long run (see Lemaire[1995] p.xvi). Firstly we de…ne the asymptotic fairness of a bonus-malussystem following an expression that can be found in Lemaire [1985] p.168. Secondly, we de…ne a measure of the global asymptotic fairness considering the structure function of the risk group. Finally we try to calculate, for each set of transition rules and a given structure function,the scale of premiums that brings the global asymptotic fairness closest to the ideal situation where each insured pays in the long run a premium corresponding to its own claim frequency. This is possible thanks to the application of a multiobjective optimization technique named Goal Programing. We give an example illustrating the fact that the ideal case could be fairly well approached. | |
dc.description.department | Decanato | |
dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
dc.description.refereed | TRUE | |
dc.description.status | pub | |
dc.eprint.id | https://eprints.ucm.es/id/eprint/6754 | |
dc.identifier.citation | DE PRIL, N. [1978]: The E¢ciency of a Bonus-Malus System. ASTIN Bulletin, no10, 59-72. KEMENY, J.G. and SNELL, J.L. [1976]: Finite Markov Chains. Springer-Verlag. KLUGMAN, S.A. and PANJER, H.H. andWILLMOT, G.E. [1998]: Loss Models. From Data to Decisions. Wiley series in Probability and Statistics. LEMAIRE, J. [1985]: Automobile Insurance. Actuarial Models. Kluwer-Nijho¤ Publishing. LEMAIRE, J. [1995]: Bonus-Malus Systems in Automobile Insurance. Kluwer Academic Publishers. LEMAIRE, J. [1998]: Bonus-Malus System: the European and Asian Approach to Merit-Rating. North American Actuarial Journal. Volume 2, Number 1. LOIMARANTA, K. [1972]: Some Asymptotic Properties of Bonus Systems. ASTIN Bulletin, 6, 233-245. NORBERG, R. [1976]: A Credibility Theory for Automobile Bonus Systems. Scandinavian Actuarial Journal, 92-107. PESONEN, M. [1963]: A Numerical Method of Finding a Suitable Bonus Scale. ASTIN Bulletin 2, 102-108. ROMERO, C. [1991]: Handbook of Critical Issues in Goal Programming. Pergamon Press, Oxford. ROMERO, C. [1993]: Teoría de la Decisión Multicriterio: Conceptos, Técnicas y Aplicaciones. Alianza Universidad Textos, Madrid. VILAR, J.L. [2000]: Arithmetization of Distributions and Linear Goal Programming. Insurance: Mathematics and Economics 27, 113-122. | |
dc.identifier.doi | b19081017 | |
dc.identifier.issn | 2255-5471 | |
dc.identifier.relatedurl | http://www.ucm.es/centros/webs/fccee/ | |
dc.identifier.relatedurl | https://economicasyempresariales.ucm.es/working-papers-ccee | |
dc.identifier.uri | https://hdl.handle.net/20.500.14352/64429 | |
dc.issue.number | 32 | |
dc.language.iso | eng | |
dc.page.total | 38 | |
dc.publication.place | Madrid | |
dc.publisher | Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid | |
dc.relation.ispartofseries | Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales | |
dc.rights | Atribución-NoComercial-CompartirIgual 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/3.0/es/ | |
dc.subject.keyword | Bonus-malus system | |
dc.subject.keyword | Asymptotic fairness | |
dc.subject.keyword | Goal Programming | |
dc.subject.keyword | Simplex method. | |
dc.subject.ucm | Dinero | |
dc.subject.unesco | 5304.06 Dinero y Operaciones Bancarias | |
dc.title | On the evaluation of the asymptotic fairness of bonus-malus systems | |
dc.type | technical report | |
dc.volume.number | 2001 | |
dspace.entity.type | Publication | |
relation.isAuthorOfPublication | 047e514e-3517-4265-8bb2-dba00d57d167 | |
relation.isAuthorOfPublication | 3115ae81-6ff7-43dd-a41f-e6ea35178c9f | |
relation.isAuthorOfPublication | 5a503bdf-bc23-4af1-9e54-92b62228786b | |
relation.isAuthorOfPublication.latestForDiscovery | 047e514e-3517-4265-8bb2-dba00d57d167 |
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