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oai:docta.ucm.es:20.500.14352/644142025-05-26T23:45:35Zcom_20.500.14352_14col_20.500.14352_17

Linear Goal Programming and experience rating Heras Martínez, Antonio José Vilar Zanón, José Luis Gil Fana, José Antonio García Pineda, M. Pilar Programación lineal Goal Programming Simplexmethod Bonus-malus system Bayes. scale Rating error Bayesian decision. Contabilidad (Economía) 5303 Contabilidad Económica 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. Decanato Fac. de Ciencias Económicas y Empresariales TRUE pub 2023-06-21T01:43:12Z 2023-06-21T01:43:12Z 2001 technical report VoR https://hdl.handle.net/20.500.14352/64414 2255-5471 eng Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales Atribución-NoComercial-CompartirIgual 3.0 España https://creativecommons.org/licenses/by-nc-sa/3.0/es/ open access application/pdf Facultad de Ciencias Económicas y Empresariales. Decanato