Bonus-malus scales in segmented tariffs with stochastic migration between segments. From: Journal of Risk and Insurance | Date: December 1, 2003| Author: | COPYRIGHT 2003 American Risk and Insurance Association, Inc. This material is published under license from the publisher through the Gale Group, Farmington Hills, Michigan.  All inquiries regarding rights should be directed to the Gale Group.Copyright information

ABSTRACT

This article proposes a computer-intensive methodology to build bonus-malus scales in automobile insurance. The claim frequency model is taken from Pinquet, Guillen, and Bolance (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).

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