Studies in the Area of Mathematics and Applications Reported from Corvinus University (On monotone likelihood ratio of stationary probabilities in bonus-malus systems): Mathematics – Mathematics and Applications

2022 NOV 23 (NewsRx) -- By a News Reporter-Staff News Editor at Math Daily News -- New study results on mathematics and applications have been published. According to news originating from Budapest, Hungary, by NewsRx correspondents, research stated, “Bonus-malus system is an often used risk management tool in the insurance industry, and it is usually modeled with Markov chains.”

Our news editors obtained a quote from the research from Corvinus University: “Under mild conditions it can be stated that the bonus-malus system converges to a unique stationary distribution in the long run. The maximum likelihood ratio property is a well-known statistical concept and we define it for the stationary distribution of a bonus-malus system. For two special cases we could justify it algebraically.”

According to the news editors, the research concluded: “For other cases we describe a numerical method with which we can test this property in any case. With the help of the described method, we checked this property for cases that appear in actuarial practice.”

For more information on this research see: On monotone likelihood ratio of stationary probabilities in bonus-malus systems. Pure Mathematics and Applications, 2022,30(3). The publisher for Pure Mathematics and Applications is Walter de Gruyter GmbH.

A free version of this journal article is available at https://doi.org/10.2478/puma-2022-0023.

Our news journalists report that additional information may be obtained by contacting Kolos Csaba Agoston, Institute of Mathematics and Statistical Modeling, Corvinus University, H-1093, Fovam ter 13-15 ., Budapest, Hungary. Additional authors for this research include Marton Gyetvai.

ORCID is an identifier for authors and includes bibliographic information. The following is ORCID information for the author of this research: Kolos Csaba Agoston (http://orcid.org/0000-0002-6738-0592).

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