Maryam Teimourian ¹, Mohammad Q. Vahidi-Asl ², Amir T. Payandeh Najafabadi ²

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

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

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