TITLE:
Discrete Time Markov Reward Processes a Motor Car Insurance Example
AUTHORS:
Guglielmo D’ Amico, Jacques Janssen, Raimondo Manca
KEYWORDS:
Markov Rewards Processes, Higher Order Moments, Bonus-Malus Systems
JOURNAL NAME:
Technology and Investment,
Vol.1 No.2,
May
25,
2010
ABSTRACT: In this paper, a full treatment of homogeneous discrete time Markov reward processes is presented. The higher order moments of the homogeneous reward process are determined. In the last part of the paper, an application to the bonus-malus car insurance is presented. The application was constructed using real data.