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On the Convergence Rate of Bonus-Malus Systems
1992
ASTIN Bulletin: The Journal of the International Actuarial Association
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AbstractUnder certain conditions, a Bonus-Malus system can be interpreted as a Markov chain whosen-step transition probabilities converge to a limit probability distribution. In this paper, the rate of the convergence is studied by means of the eigenvalues of the transition probability matrix of the Markov chain.
doi:10.2143/ast.22.2.2005116
fatcat:gqktirpbxrderg3gcye7jmg6jq