Abstract: In this paper we propose Markov Reward Processes (MRP) as a valuable tool to investigate the probabilistic and financial evolution of Bonus-Malus System (BMS). We use the techniques developed in D’Amico (2009) to estimate the higher order moments of the reward process and we apply them to the Italian BMS showing the usefulness of the results in the actuarial field.
An Application of Markov Reward Processes to the Italian Bonus-Malus System / G., D'Amico; DE MEDICI, Giovanna. - STAMPA. - (2009), pp. 43-54.
An Application of Markov Reward Processes to the Italian Bonus-Malus System
DE MEDICI, Giovanna
2009
Abstract
Abstract: In this paper we propose Markov Reward Processes (MRP) as a valuable tool to investigate the probabilistic and financial evolution of Bonus-Malus System (BMS). We use the techniques developed in D’Amico (2009) to estimate the higher order moments of the reward process and we apply them to the Italian BMS showing the usefulness of the results in the actuarial field.File allegati a questo prodotto
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