Biblioteca de la Universidad Complutense de Madrid

Linear Goal Programming and experience rating

Impacto



Heras Martínez, Antonio José y Vilar Zanón, José Luis y Gil Fana, José Antonio y García Pineda, María Pilar (2001) Linear Goal Programming and experience rating. [ Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales; nº 17, 2001, ISSN: 2255-5471 ]

[img]
Vista previa
PDF
Creative Commons License
Esta obra está bajo una licencia de Creative Commons: Reconocimiento - No comercial - Compartir igual.

256kB

URL Oficial: http://eprints.ucm.es/6739/




Resumen

This paper is devoted to the explanation of a new methodology in bonus malus system design, capable of taking into account very well known theoretical conditions like fairness and …nancial equilibrium of the portfolio, in addition to market conditions that could …t the resulting scale of premiums into competitive commercial settings. This is done through the resolution of a classical Bayesian decision problem, by means of minimization of the absolute error instead of the classical quadratic error. It is at this stage that we apply Goal Programming methods, which are linear thanks to the equivalence between the minimization of the absolute error and the minimization of the sum of some deviation variables which have a natural interpretation as rating errors. We show in an example how does the new methodology work. All the linear programs have been solved using the simplex method.


Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Programación lineal; Goal Programming; Simplexmethod; Bonus-malus system; Bayes. scale, Rating error, Bayesian decision.
Materias:Ciencias Sociales > Economía > Contabilidad
Título de serie o colección:Documentos de Trabajo de la Facultad de Ciencias Económicas y Empresariales
Volumen:2001
Número:17
Código ID:6739
Referencias:

Borgan O., Hoem J.M., Norberg R., 1981. A nonasimptotic criterion for the evaluation of automobile bonus systems. Scandinavian Actuarial Journal, 165-178.

DeGroot, M., 1970. Optimal statistical decisions. McGraw-Hill, New York.

Grimmett, Stirzaker, 1992. Probability and Random Processes. Second edition. Oxford University Press. Oxford.

Lemaire, J., 1985. Automobile insurance: actuarial models. Kluwer. Boston.

Lemaire, J., 1995. Bonus-Malus systems in automobile insurance. Kluwer. Boston.

Norberg, R, 1976. A credibility theory for automobile bonus systems. Scandinavian Actuarial Journal, 92-107.

Pesonen, M., 1963. A numerical method of …nding a suitable bonus scale. Astin Bulletin 2, 102-108.

Romero,C., 1991. Handbook of Critical Issues in Goal Programming. Pergamon Press, Oxford.

Romero,C., 1993. Teoría de la Decisión Multicriterio: Conceptos, Técnicas y Aplicaciones. Alianza Universidad Textos, Madrid.

Sawaragi Y., Nakayama H., Tanino T.,1985. Theory of multiobjective optimization. Academic Press.

Sundt, B., 1984. An introduction to non-life insurance mathematics. Verlag Versicherungswirtschaft, Karlsruhe.

Vilar, J.L., 2000. Arithmetization of distributions and linear goal programming. Insurance: Mathematics and Economics 27, 113-122.

Walhin J.F., Paris J., 1999. Using mixed Poisson processes in connection with bonus-malus systems. Astin Bulletin, Vol. 29, nº 1, 81-99.

Depositado:30 Nov 2007
Última Modificación:08 Oct 2015 08:27

Sólo personal del repositorio: página de control del artículo