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

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  • Dufresne, Par François

Abstract

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.

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  • Dufresne, Par François, 1988. "Distributions stationnaires d'un système bonus–malus et probabilité de ruine," ASTIN Bulletin, Cambridge University Press, vol. 18(1), pages 31-46, April.
    • Handle: RePEc:cup:astinb:v:18:y:1988:i:01:p:31-46_00
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