RT Report
T1 Linear Goal Programming and experience rating
A1 Heras Martínez, Antonio José
A1 Vilar Zanón, José Luis
A1 Gil Fana, José Antonio
A1 García Pineda, María Pilar
AB This paper is devoted to the explanation of a new methodology in bonus malus system design, capable of taking into account very well known theoretical conditions like fairness and …nancial equilibrium of the portfolio, in addition to market conditions that could …t the resulting scale of premiums into competitive commercial settings. This is done through the resolution of a classical Bayesian decision problem, by means of minimization of the absolute error instead of the classical quadratic error. It is at this stage that we apply Goal Programming methods, which are linear thanks to the equivalence between the minimization of the absolute error and the minimization of the sum of some deviation variables which have a natural interpretation as rating errors. We show in an example how does the new methodology work. All the linear programs have been solved using the simplex method.
PB Facultad de Ciencias Económicas y Empresariales. Decanato
SN 2255-5471
YR 2001
FD 2001
LK https://hdl.handle.net/20.500.14352/64414
UL https://hdl.handle.net/20.500.14352/64414
LA eng
DS Docta Complutense
RD 7 abr 2025