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1 results

  • Using Mixed Poisson Processes in Connection with Bonus-Malus Systems1

  • J.F. Walhin, J. Paris
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 29 / Issue 1 / May 1999
    Published online by Cambridge University Press:
    29 August 2014, pp. 81-99
    Print publication:
    May 1999
    • Article
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  • For the construction of bonus-malus systems, we propose to show how to apply, thanks to simple mathematics, a parametric method encompassing those encountered in the literature. We also compare this parametric method with a non-parametric one that has not yet been used in the actuarial literature and that however permits a simple formulation of the stationary and transition probabilities in a portfolio whenever we have the intention to construct a bonus-malus system with finite number of classes.