Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076493 | Insurance: Mathematics and Economics | 2015 | 23 Pages |
Abstract
Classical compound Poisson risk models consider the premium rate to be constant. By adjusting the premium rate to the claims history, one can emulate a Bonus-Malus system within the ruin theory context. One way to implement such adjustment is by considering the Poisson parameter to be a continuous random variable and use credibility theory arguments to adjust the premium rate a posteriori. Depending on the defectiveness of this random variable, respectively referred to as 'unforeseeable' (defective) versus 'historical' (non-defective) risks, one obtains different relations between the ruin probability with constant versus adjusted premium rate. A combination of these two kinds of risks also leads to a relation between the two ruin probabilities, when the a posteriori estimator of the number of claims is carefully chosen. Examples for specific claim sizes are presented throughout the paper.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Bo Li, Weihong Ni, Corina Constantinescu,