Preliminary results on confidence intervals for open bonus malus

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Abstract

Considering open portfolios, we analyze bonus–malus systems (BMS) under a realistic approach, as we already did in Guerreiro and Mexia (Discuss. Math. Probab. Stat. 24(2):197–213, 2004). Using stochastic vortices model we are now able to predict long-run distribution through confidence intervals.

Original languageEnglish
Title of host publicationStudies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies
EditorsJ. Lita da Silva, F. Caeiro, I. Natário, C. Braumann
Place of PublicationBerlin, Heidelberg
PublisherSpringer International Publishing
Pages223-230
Number of pages8
ISBN (Electronic)978-3-642-34904-1
ISBN (Print)978-3-642-34903-4
DOIs
Publication statusPublished - 2013

Publication series

NameStudies in Theoretical and Applied Statistics, Selected Papers of the Statistical Societies
PublisherSpringer International Publishing
ISSN (Print)2194-7767
ISSN (Electronic)2194-7775

Keywords

  • Annulment probability
  • Claim frequency
  • Initial classification
  • Quota share
  • Transient state

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