volume 11, issue 2, P361-374 2005
DOI: 10.1017/s1357321700003111
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E. Gómez-Déniz, L. Bermúdez, I. Morillo

Abstract: ABSTRACTThe use of classical bonus–malus systems entails very high maluses and other problems which, during recent years, have been criticised by actuaries. To avoid these problems, new bonus–malus models have been developed. For instance, it is well known that the use of an exponential loss function reduces the differences between overcharges and undercharges, solving the problem of high maluses. In order to measure the sensitivity of the exponential bonus–malus system, and according to robust Bayesian analys…

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