University of Granada Researchers Add New Findings in the Area of Mathematics (Fuzzy Markovian Bonus-Malus Systems in Non-Life Insurance)
Insurance Daily News
News Reporter-Staff News Editor at
Insurance Daily News -- Investigators publish new report on mathematics. According to news reporting out of
Granada, Spain, by NewsRx editors, research stated, “Markov chains (MCs) are widely used to model a great deal of financial and actuarial problems.”
Our news journalists obtained a quote from the research from
University of Granada: “Likewise, they are also used in many other fields ranging from economics, management, agricultural sciences, engineering or informatics to medicine. This paper focuses on the use of MCs for the design of non-life bonus-malus systems (BMSs). It proposes quantifying the uncertainty of transition probabilities in BMSs by using fuzzy numbers (FNs). To do so, Fuzzy MCs (FMCs) as defined by Buckley and Eslami in 2002 are used, thus giving rise to the concept of Fuzzy BMSs (FBMSs). More concretely, we describe in detail the common BMS where the number of claims follows a Poisson distribution under the hypothesis that its characteristic parameter is not a real but a triangular FN (TFN). Moreover, we reflect on how to fit that parameter by using several fuzzy data analysis tools and discuss the goodness of triangular approximates to fuzzy transition probabilities, the fuzzy stationary state, and the fuzzy mean asymptotic premium.”