Bonus‐Malus Scales in Segmented Tariffs With Stochastic Migration Between Segments

Natacha Brouhns, Montserrat Guillen, Michel Denuit and Jean Pinquet

Journal of Risk & Insurance, 2003, vol. 70, issue 4, 577-599

Abstract: This article proposes a computer‐intensive methodology to build bonus‐malus scales in automobile insurance. The claim frequency model is taken from Pinquet, Guillén, and Bolancé (2001). It accounts for overdispersion, heteroskedasticity, and dependence among repeated observations. Explanatory variables are taken into account in the determination of the relativities, yielding an integrated automobile ratemaking scheme. In that respect, it complements the study of Taylor (1997).

Date: 2003
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Citations: View citations in EconPapers (21)

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https://doi.org/10.1046/j.0022-4367.2003.00066.x

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Working Paper: Bonus-Malus scales in segmented tariffs with stochastic migration between segments (2003)
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