Optimal Claiming Strategies in Bonus Malus Systems and Implied Markov ChainsReport as inadecuate




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1 CREM - Centre de Recherche en Economie et Management 2 LAMA - Laboratoire d-Analyse et de Mathématiques Appliquées

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.

Keywords : bonus malus markov chains





Author: Arthur Charpentier - Arthur David - Romuald Elie -

Source: https://hal.archives-ouvertes.fr/



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