Dalal Al Ghanim

Meixner-Weighted Banded Markov Chains for Bonus–Malus Experience Rating Under Mixed-Poisson Risk Heterogeneity

Classical bonus–malus systems are often calibrated under a homogeneous Poisson claim-count model, although motor portfolios commonly exhibit unobserved heterogeneity and overdispersion. We develop a finite Meixner-weighted d-band Markov-chain framework for experience rating. Gamm...

Markovian Dynamics Associated with d-Orthogonal Polynomials and Generalized Birth and Death Processes in Multiple-Life Insurance

We construct upward skip-free continuous-time Markov chains from finite-band recurrences associated with d-orthogonal polynomial systems. In the alternating-sign chamber, the recurrence yields an order-d generalized birth–death generator with one upward and at most d downward jum...