Abstract
A bonus-malus system calculates the premiums for car insurance based on the previous claim experience (class). In this paper, we propose a model that allows dependence between the claim frequency and the class occupied by the insured using a copula function. It also takes into account zero-excess phenomenon. The maximum likelihood method is employed to estimate the model parameters. A small simulation is performed to illustrate the proposed model and method.
Original language | English |
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Pages (from-to) | 273-277 |
Number of pages | 5 |
Journal | Operations Research Letters |
Volume | 42 |
Issue number | 4 |
DOIs | |
Publication status | Published - Jun 2014 |