Indian Journal of Science and Technology

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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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