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

Par François Dufresne

ASTIN Bulletin, 1988, vol. 18, issue 1, 31-46

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.

Date: 1988
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