Template-type: ReDIF-Paper 1.0
Author-Name: Antonio José Heras Martínez
Author-Workplace-Name: Departamento de Economía Financiera y Contabilidad I (Economía Financiera y Actuarial). Universidad 
	Complutense de Madrid.
Author-Workplace-Homepage:
 https://www.ucm.es/economia-financiera-y-actuarial
Author-Name: José Luis Vilar Zanón
Author-Workplace-Name: Departamento de Economía Financiera y Contabilidad I (Economía Financiera y Actuarial). Universidad 
	Complutense de Madrid.
Author-Workplace-Homepage:
 https://www.ucm.es/economia-financiera-y-actuarial
Author-Name: José Antonio Fana
Author-Workplace-Name: Departamento de Economía Financiera y Contabilidad I (Economía Financiera y Actuarial). Universidad 
	Complutense de Madrid.
Author-Workplace-Homepage:
 https://www.ucm.es/economia-financiera-y-actuarial
Author-Name: Pilar García Pineda
Author-Workplace-Name: Departamento de Economía Financiera y Contabilidad I (Economía Financiera y Actuarial). Universidad 
	Complutense de Madrid.
Author-Workplace-Homepage:
 https://www.ucm.es/economia-financiera-y-actuarial
Title: Linear goal programming and experience rating
Abstract: This paper is devoted to the explanation of a new methodology in bonus malus system design, capable of taking into 
	account very well known theoretical conditions like fairness and …nancial equilibrium of the portfolio, in addition to 
	market conditions that could …t the resulting scale of premiums into competitive commercial settings. This is done through 
	the resolution of a classical Bayesian decision problem, by means of minimization of the absolute error instead of the 
	classical quadratic error. It is at this stage that we apply Goal Programming methods, which are linear thanks to the 
	equivalence between the minimization of the absolute error and the minimization of the sum of some deviation variables 
	which have a natural interpretation as rating errors. We show in an example how does the new methodology work. All the 
	linear programs have been solved using the simplex method.
Keywords: Programación lineal; Goal Programming; Simplexmethod; Bonus-malus system; Bayes.
 scale, Rating error, Bayesian decision.
Length: 32 pages 
Creation-Date: 2001
Number:
 01-17
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doctra01-17.txt
File-URL: https://eprints.ucm.es/id/eprint/6739/1/0117.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doctra:01-17