2017
DOI: 10.1017/asb.2017.3
|View full text |Cite
|
Sign up to set email alerts
|

MEASURING THE IMPACT OF A BONUS-MALUS SYSTEM IN FINITE AND CONTINUOUS TIME RUIN PROBABILITIES FOR LARGE PORTFOLIOS IN MOTOR INSURANCE

Abstract: Motor insurance is a very competitive business where insurers operate with quite large portfolios, often decisions must be taken under short horizons and therefore ruin probabilities should be calculated in finite time. The probability of ruin, in continuous and finite time, is numerically evaluated under the classical Cramér–Lundberg risk process framework for a large motor insurance portfolio, where we allow for a posteriori premium adjustments, according to the claim record of each individual policyholder. … Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
3
1
1

Citation Types

4
25
0
1

Year Published

2019
2019
2024
2024

Publication Types

Select...
6

Relationship

1
5

Authors

Journals

citations
Cited by 9 publications
(30 citation statements)
references
References 17 publications
(32 reference statements)
4
25
0
1
Order By: Relevance
“…In this section, we summarize briefly our basic framework for the calculation of the probability of ruin in finite and continuous time. The base model was taken from Afonso, Egídio dos Reis, and Waters () and it is already summarized in Afonso et al (). As for the modeling of BMS in open portfolios we will follow the work by Guerreiro, Mexia, and Miguens () with some developments obtained in Esquível, Fernandes, and Guerreiro ().…”
Section: Basic Frameworkmentioning
confidence: 99%
See 3 more Smart Citations
“…In this section, we summarize briefly our basic framework for the calculation of the probability of ruin in finite and continuous time. The base model was taken from Afonso, Egídio dos Reis, and Waters () and it is already summarized in Afonso et al (). As for the modeling of BMS in open portfolios we will follow the work by Guerreiro, Mexia, and Miguens () with some developments obtained in Esquível, Fernandes, and Guerreiro ().…”
Section: Basic Frameworkmentioning
confidence: 99%
“…The main goal of this work is to calculate finite time ruin probabilities for large motor insurance portfolios where a Markovian Bonus‐Malus System (briefly BMS) based on claim counts is put in place as experience rating. The paper by Afonso et al () shows a way to do this calculation/estimation in the presence of a classical BMS model. Our aim is to update their model to provide the implementation of an open BMS as we believe that the resulting ruin probabilities have a better or realistic representation for the business.…”
Section: Introductionmentioning
confidence: 99%
See 2 more Smart Citations
“…For simplicity, we assume everything to be exponential distributed with τ ∼ Exp(λ 1 ),τ ∼ Exp(λ 2 ) and Y ∼ Exp(β), respectively. Recall our process described by (2), note that ruin happens only at claim arrivals σ k = ∑ k i=1 τ i and σ 0 = 0. From time σ k to σ k+1 , the distribution of the increment S(σ k+1 ) − S(σ k ) is only dependents on the relation between τ k and ξ.…”
Section: Embedded Markov Additive Processmentioning
confidence: 99%