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Designing optimal bonus-malus systems from different types of claims

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  • J. Pinquet

Abstract

This paper provides bonus-malus systems which rest on different types of claims. Consistent estimators are given for some moments of themixing distribution of a multi equation Poisson model with random effects. Bonus-malus coefficients are then obtained with the expected value principle, and from linear credibility predictors. E,pirical results are presented for two types of claims, namely claims with or without liability with respect to a third party.

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Bibliographic Info

Paper provided by THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise in its series THEMA Working Papers with number 98-19.

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Date of creation: 1998
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Handle: RePEc:ema:worpap:98-19

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References

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  1. Dionne, G. & Maurice, M. & Pinquet, J. & Vanasse, C., 2001. "The Role of Memory in Long-Term Contracting with Moral Hazard: Empirical Evidence in Automobile Insurance," Ecole des Hautes Etudes Commerciales de Montreal- 01-05, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  2. Dionne, G. & Vanasse, C., 1988. "A Generalization Of Automobile Insurance Rating Models: The Negative Binomial Distribution With A Regression Component," Cahiers de recherche 8833, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  3. J. Pinquet, 1997. "Experience rating through heterogeneous models," THEMA Working Papers 97-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  4. J. Pinquet., 1997. "Testing heterogenity through consistent estimators," THEMA Working Papers 97-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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Cited by:
  1. Frees, Edward W. & Wang, Ping, 2006. "Copula credibility for aggregate loss models," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 360-373, April.
  2. Desjardins, D. & Dionne, G. & Pinquet, J., 2000. "Experience Rating Schemes for Fleets of Vehicules," Ecole des Hautes Etudes Commerciales de Montreal- 00-03, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
  3. Angers, Jean-François & Desjardins, Denise & Dionne, Georges, 2004. "Modèle Bayésien de tarification de l’assurance des flottes de véhicules," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 253-303, Juin-Sept.
  4. Jean Pinquet, 2012. "Experience rating in non-life insurance," Working Papers hal-00677100, HAL.
  5. Katrien Antonio & Emiliano Valdez, 2012. "Statistical concepts of a priori and a posteriori risk classification in insurance," AStA Advances in Statistical Analysis, Springer, vol. 96(2), pages 187-224, June.
  6. Shi, Peng & Valdez, Emiliano A., 2011. "A copula approach to test asymmetric information with applications to predictive modeling," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 226-239, September.
  7. Satya P. DAS & Chetan CHATE, 2001. "Endogenous Distribution, Politics, and Growth," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  8. DENUIT, Michel & SAILLET, Olivier, 2001. "Nonparametric Tests for Positive Quadrant Dependence," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 01 Apr 2001.
  9. Jean-François Angers & Denise Desjardins & Georges Dionne & François Guertin, 2004. "Vehicle and Fleet Random Effects in a Model of Insurance Rating for Fleets of Vehicles," Cahiers de recherche 0423, CIRPEE.
  10. Young, Gary & Valdez, Emiliano A. & Kohn, Robert, 2009. "Multivariate probit models for conditional claim-types," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 214-228, April.

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