Indian Journal of Science and Technology

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Distribution of Loss Severity of Bonus-malus Systems


Affiliations
1 Department of Statistics, College of Science, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran, Islamic Republic of
2 Department of Statistics, Shahid Beheshti University, G. C. Evin, Tehran, Iran, Islamic Republic of
 

This paper describes a method for computing the distribution function of the loss severity in a Bonus-Malus system with k levels. A closed form expression for the distribution function of the loss severity by assuming different distributions for claim sizes and claim numbers in each level has been derived. Also, Ruin probability and computing VaR in the system have been given.

Keywords

Bonus-malus System, Cauchy Residue, Characteristic Function, Distribution of Loss Severity
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  • Distribution of Loss Severity of Bonus-malus Systems

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Authors

Maryam Teimourian
Department of Statistics, College of Science, Tehran Science and Research Branch, Islamic Azad University, Tehran, Iran, Islamic Republic of
Mohammad Q. Vahidi-Asl
Department of Statistics, Shahid Beheshti University, G. C. Evin, Tehran, Iran, Islamic Republic of
Amir T. Payandeh Najafabadi
Department of Statistics, Shahid Beheshti University, G. C. Evin, Tehran, Iran, Islamic Republic of

Abstract


This paper describes a method for computing the distribution function of the loss severity in a Bonus-Malus system with k levels. A closed form expression for the distribution function of the loss severity by assuming different distributions for claim sizes and claim numbers in each level has been derived. Also, Ruin probability and computing VaR in the system have been given.

Keywords


Bonus-malus System, Cauchy Residue, Characteristic Function, Distribution of Loss Severity



DOI: https://doi.org/10.17485/ijst%2F2014%2Fv7i7%2F54316