Bonus-Malus scales in segmented tariffs with stochastic migration between segments

Jean Pinquet, Montserrat Guillén (), Michel Denuit and Natacha Brouhns
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Montserrat Guillén: CECO - Laboratoire d'économétrie de l'École polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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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 and dependence over 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: 2003-10-19
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Citations: View citations in EconPapers (24)

Published in Journal of Risk and Insurance, 2003, 70 (4), pp.577-599

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Journal Article: Bonus‐Malus Scales in Segmented Tariffs With Stochastic Migration Between Segments (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00397084

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