Distributions stationnaires d'un système bonus–malus et probabilité de ruine
Open Access
- 1 April 1988
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 18 (1) , 31-46
- https://doi.org/10.2143/ast.18.1.2014958
Abstract
It is shown how the stationary distributions of a bonus–malus system can be computed recursively. It is further shown that there is an intrinsic relationship between such a stationary distribution and the probability of ruin in the risk-theoretical model. The recursive algorithm is applied to the Swiss bonus–malus system for automobile third-party liability and can be used to evaluate ruin probabilities.Keywords
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