Átsorolási szabályok optimalizálása bónusz-málusz rendszerekben

The Bonus-malus (BM) system is a risk management method in actuarial science, the application of which is recommended when an insurance company assumes there are some unobservable parameters, that affect the risk of each policyholder. It means the policyholders can be categorized into risk-groups, however, the insurance company is unable to perfectly classify each policyholder into the predefined risk-groups through the observable parameters (such as age, sex, education, etc.).Therefore, there remains an error of this classification, that means there are some underlying unobservable parameters, that affect the risks of the policyholders. According to the corresponding literature, this causes welfare loss in the insurance market. Estimating these parameters is not a straightforward task with statistical methods, however, with multi-period contracts, the insurer can make a more precise estimation of the overall risk for each policyholder. The Bonus-malus system is a classification scheme for multi-period contracts.