Zależność stochastyczna w aktuarialnych modelach taryfikacji a posteriori
Stochastic dependence in actuarial models for a posteriori risk classification

Summary/Abstract: The purpose of this paper is to analyze the effects of stochastic dependence in actuarial models for a posteriori risk classification in automobile insurance. It is shown that in many practical situations the claims generating the process is multidimensional and the traditional assumption of independence between its components in not justified. The main aim of this paper is to analyze the correlation between different types of claims in motor third-party liability insurance (bodily injury and property damage) and to describe a bonus-malus system in which this distinction is taken into account in the transition rules. It is shown that in the case of a strong correlation such a bonus-malus system can be more effecient than a standard system which relies only on the total number of claims.

• Details
• Contents