Optimal claim behaviour for third-party liability insurances with perfect information
In this paper we analyse the optimal claim behaviour of a policy holder having a third-party liability insurance in which one is allowed to decide at the end of an insurance year which damages occurred during that year should be claimed. This analysis can only be carried out in detail in case the damages are negative exponentially distributed. Moreover, we present some computational results using an existing bonus—malus system and a horizon of 10 and 25 years and compare these results with similar computations for a corresponding third-party liability insurance in which the policy holder has to decide within a limited time period after the accident to claim or not to claim.
|Keywords||Markov decision processes, optimal critical claim size, order statistics|
|Persistent URL||dx.doi.org/10.1016/0167-6687(91)90008-L, hdl.handle.net/1765/11667|
Dellaert, N.P., Frenk, J.B.G., & Voshol, E.. (1991). Optimal claim behaviour for third-party liability insurances with perfect information. Insurance: Mathematics and Economics, 145–151. doi:10.1016/0167-6687(91)90008-L