Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains

Abstract : In this paper, we investigate the impact of the claim reporting strategy of drivers, within a bonus malus system. We exhibit the induced modification of the corresponding class level transition matrix and derive the optimal reporting strategy for rational drivers. The hunger for bonuses induces optimal thresholds under which, drivers do not claim their losses. A numerical algorithm is provided for computing such thresholds and realistic numerical applications are discussed.
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https://hal.archives-ouvertes.fr/hal-01326798
Contributor : Arthur Charpentier <>
Submitted on : Sunday, June 5, 2016 - 9:02:25 PM
Last modification on : Friday, October 4, 2019 - 1:29:57 AM

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  • HAL Id : hal-01326798, version 1

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Arthur Charpentier, Arthur David, Romuald Elie. Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains. 2016. ⟨hal-01326798⟩

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