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Designing Optimal Bonus-Malus Systems from Different Types of Claims

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  • Pinquet, Jean

Abstract

This paper provides bonus-malus systems which rest on different types of claims. Consistent estimators are given for some moments of the mixing 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. Empirical results are presented for two types of claims, namely claims at fault and not at fault with respect to a third party.

Suggested Citation

  • Pinquet, Jean, 1998. "Designing Optimal Bonus-Malus Systems from Different Types of Claims," ASTIN Bulletin, Cambridge University Press, vol. 28(2), pages 205-220, November.
    • Handle: RePEc:cup:astinb:v:28:y:1998:i:02:p:205-220_01
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    References listed on IDEAS

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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, Georges & Vanasse, Charles, 1989. "A Generalization of Automobile Insurance Rating Models: The Negative Binomial Distribution with a Regression Component," ASTIN Bulletin, Cambridge University Press, vol. 19(2), pages 199-212, November.
    3. J. Pinquet., 1997. "Testing heterogenity through consistent estimators," THEMA Working Papers 97-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    4. J. Pinquet, 1997. "Experience rating through heterogeneous models," THEMA Working Papers 97-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    5. Bühlmann, Hans, 1967. "Experience Rating and Credibility," ASTIN Bulletin, Cambridge University Press, vol. 4(3), pages 199-207, July.
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    More about this item

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium

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