Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov Chains

Arthur Charpentier (1) , Arthur David (1) , Romuald Elie (2)

1 CREM - Centre de recherche en économie et management
2 LAMA - Laboratoire d'Analyse et de Mathématiques Appliquées

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.

Mots clés: bonus malus; markov chains

Domaines: Statistiques [math.ST]; Economies et finances

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