Multivariate Credibility in Bonus-Malus Systems Distinguishing between Different Types of Claims
Emilio Gomez-Deniz, Enrique Calderin-Ojeda
RISKS | MDPI | Published : 2018
In the classical bonus-malus system the premium assigned to each policyholder is based only on the number of claims made without having into account the claims size. Thus, a policyholder who has declared a claim that results in a relatively small loss is penalised to the same extent as one who has declared a more expensive claim. Of course, this is seen unfair by many policyholders. In this paper, we study the factors that affect the number of claims in car insurance by using a trivariate discrete distribution. This approach allows us to discern between three types of claims depending wether the claims are above, between or below certain thresholds. Therefore, this model implements the two f..View full abstract
Awarded by Ministerio de Economia y Competitividad, Spain
Awarded by Ministerio de Economia, Industria y Competitividad. Agencia Estatal de Investigacion
This work was partially funded by grant ECO2013-47092 (Ministerio de Economia y Competitividad, Spain and ECO2017-85577-P (Ministerio de Economia, Industria y Competitividad. Agencia Estatal de Investigacion)).