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Distributions stationnaires d'un système bonus–malus et probabilité de ruine

Published online by Cambridge University Press:  29 August 2014

Par François Dufresne
Par François Dufresne*
Affiliation:
Université de Lausanne
*
Ecole des HEC, Université de Lausanne, CH-1015 Lausanne, Switzerland.
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Abstract

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It is shown how the stationary distributions of a bonus–malus system can be computed recursively. It is further shown that there is an intrinsic relationship between such a stationary distribution and the probability of ruin in the risk-theoretical model. The recursive algorithm is applied to the Swiss bonus–malus system for automobile third-party liability and can be used to evaluate ruin probabilities.

Keywords

Bonus–malusstationary distributionsprobability of ruin
Type
Prize-Winning Papers of the ASTIN Competition 1987
Information
ASTIN Bulletin: The Journal of the IAA , Volume 18 , Issue 1 , April 1988 , pp. 31 - 46
Copyright
Copyright © International Actuarial Association 1988

References

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