✦ LIBER ✦
092040 (M40) Kalman filters with applications to loss reserving : Zehnwirth B., Centre for Actuarial Studies, Research Paper No. 35, 1996
- Publisher
- Elsevier Science
- Year
- 1997
- Tongue
- English
- Weight
- 85 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0167-6687
No coin nor oath required. For personal study only.
✦ Synopsis
The operation of a bonus-malus system, superimposed on a premium system involving a number of other rating variables, is considered. To the extent that good risks are rewarded in their base premiums, through the other rating variables, the size of the bonus they require for equity is reduced. This issue is discussed quantitatively, and a numerical example is given.