Discrete Time Markov Reward Processes a Motor Car Insurance Example - Technology and Investment

TI > Vol.1 No.2, May 2010

Discrete Time Markov Reward Processes a Motor Car Insurance Example ()

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DOI: 10.4236/ti.2010.12016 6,020 Downloads 11,223 Views Citations

Author(s)

Guglielmo D’ Amico, Jacques Janssen, Raimondo Manca

Affiliation(s)

Jacan &, EURIA, Université de Bretagne Occidentale, 6 avenue le Gorgeu, Brest, France.
Università “G. D’Annunzio” di Chieti, Dip. di Scienze del Farmaco, via dei Vestini, Chieti, Italy.
Università “La Sapienza”, Dip. di Matematica per le Decisioni Economiche, Finanziarie ed Assicurative, via del Castro Laurenziano, Roma, Italy.

ABSTRACT

In this paper, a full treatment of homogeneous discrete time Markov reward processes is presented. The higher order moments of the homogeneous reward process are determined. In the last part of the paper, an application to the bonus-malus car insurance is presented. The application was constructed using real data.

KEYWORDS

Markov Rewards Processes, Higher Order Moments, Bonus-Malus Systems

Share and Cite:

G. Amico, J. Janssen and R. Manca, "Discrete Time Markov Reward Processes a Motor Car Insurance Example," Technology and Investment, Vol. 1 No. 2, 2010, pp. 135-142. doi: 10.4236/ti.2010.12016.

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