Syllabus
1. Bonus-malus system: transition rules, modeling by means of a discrete-time Markov chain, stationary distribution, optimal relativities, interaction with a priori ratemaking, measures of efficiency. 2.
Multiple state models in disability insurance: modeling by means of continuous-time Markov chains, transition intensities and their estimation, transition probabilities, construction of an increment-decrement table, calculation of premius and reserves.
Annotation
Multiple state models in insurance. Bonus-malus systems in automobile insurance.
Modeling bonus systems using discrete-time Markov chains. Multiple state models in disability insurance.
Estimation of transition intensities. Construction of an increment-decrement table.
Actuarial calculations.