Bonus-Malus Scales in Segmented Tariffs With Stochastic Migration Between Segments
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). Copyright The Journal of Risk and Insurance.
Year of publication: |
2003
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Authors: | Brouhns, Natacha ; Guillén, Montserrat ; Denuit, Michel ; Pinquet, Jean |
Published in: |
Journal of Risk & Insurance. - American Risk and Insurance Association - ARIA, ISSN 0022-4367. - Vol. 70.2003, 4, p. 577-599
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Publisher: |
American Risk and Insurance Association - ARIA |
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