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Exponential Bonus-Malus Systems Integrating A Priori Risk Classification, Llufs Bermudez, Michel Denuit, Jan Dhaene
Exponential Bonus-Malus Systems Integrating A Priori Risk Classification, Llufs Bermudez, Michel Denuit, Jan Dhaene
Journal of Actuarial Practice (1993-2006)
This paper examines an integrated ratemaking scheme including a priori risk classification and a posteriori experience rating. In order to avoid the high penalties implied by the quadratic loss function, the symmetry between the overcharges and the undercharges is broken by introducing parametric loss functions of exponential type.