Asmussen, Søren - In: Risks : open access journal 2 (2014) 1, pp. 49-73
In a bonus-malus system in car insurance, the bonus class of a customer is updated from one year to the next as a function of the current class and the number of claims in the year (assumed Poisson). Thus the sequence of classes of a customer in consecutive years forms a Markov chain, and most...