Abstract
AbstractIt 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.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
18 articles.
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