Optimal Bonus-Malus scales in segmented tariffs

This paper proposes a practical computer-intensive methodology to build bonus-malus scales in automobile insurance. The claim frequency model is taken from Pinquet, Guill ́en and Bolanc ́e (2001). It accounts for overdispersion, heteroscedasticity and dependence among repeated observations. Explanatory variables are taken into account in the determination of the relativities, yielding an integrated automobile ratemaking scheme. In that respect, it complements the study of Taylor (1997) and solves an outstanding open problem in the actuarial literature.