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Document Details :

Title: Distributions stationnaires d'un système bonus-malus et probabilité de ruine
Author(s): DUFRESNE, François
Journal: ASTIN Bulletin
Volume: 18    Issue: 1   Date: April 1988   
Pages: 31-46
DOI: 10.2143/AST.18.1.2014958

Abstract :
It is shown how the stationary distribution of a bonus-malus system can be computed recursively. It is further shown that there is an intrinsic relationship between such a stationary distribution and the probability of ruin in the risk-theoretical model. The recursive algorithm is applied to the Swiss bonus-malus system fir automobile third-party liability and can be used to evaluate ruin probabilities.