Bonus systems in an open portfolio

Authors
Centeno, MD Silva, JMAE
Citation
Md. Centeno et Jmae. Silva, Bonus systems in an open portfolio, INSUR MATH, 28(3), 2001, pp. 341-350
Citations number
6
Categorie Soggetti
Economics
Journal title
INSURANCE MATHEMATICS & ECONOMICS
ISSN journal
01676687 → ACNP
Volume
28
Issue
3
Year of publication
2001
Pages
341 - 350
Database
ISI
SICI code
0167-6687(20010620)28:3<341:BSIAOP>2.0.ZU;2-D
Abstract
In this paper, we study bonus systems in an open portfolio, i.e. we conside r that a policyholder can transfer his policy to a different insurance comp any at any time. We make use of inhomogeneous Markov chains to model the sy stem and show, under reasonable assumptions, that the stationary distributi on is independent of the market shares, and is easily calculated. (C) 2001 Elsevier Science B.V. All rights reserved.