Under the assumptions of an open portfolio, i.e., considering that a policyholder can transfer his policy to another insurance company and the continuous arrival of new policyholders into a portfolio which can be placed into any of the bonus classes and not only in the ”starting class”, we developed a model (Stochastic Vortices Model) to estimate the Long Run Distribution for a Bonus Malus System. These hypothesis render the model quite representative of the reality. With the obtained Long Run Distribution, a few optimal bonus scales were calculated, such as Norberg’s , Borgan, Hoem’s & Norberg’s , Gilde & Sundt’s  and Andrade e Silva’s .To compare our results, since this was the first application of the model to a Bonus Malus System, we used the Classic Model for Bonus Malus and the Open Model developed by Centeno & Andrade e Silva . The results of the Stochastic Vortices and the Open Model are highly similar and quite different from those of the Classic Model.
|Number of pages||11|
|Journal||Boletim do Instituto dos Actuários Portugueses|
|Publication status||Published - 2003|
- Bonus Malus
- Stochastic Vortices
- Long Run Distribution
- Optimal Bonus Scales