1993-06-01
Optimal claim behaviour for vehicle damage insurances
Publication
Publication
Insurance: Mathematics and Economics p. 225- 244
In this paper we analyse the optimal claim behaviour of a risk sensitive policy holder having a vehicle damage insurance. It is proved that the optimal decision is of the form: to claim for damages only if its amount exceeds a certain limit. Moreover, we also derive the optimal stopping rule to terminate the insurance. Finally, some computational results are presented.
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| doi.org/10.1016/0167-6687(93)90235-H, hdl.handle.net/1765/11669 | |
| Insurance: Mathematics and Economics | |
| Organisation | Erasmus School of Economics |
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Dellaert, N., Frenk, H., & van Rijsoort, L. P. (1993). Optimal claim behaviour for vehicle damage insurances. Insurance: Mathematics and Economics, 225–244. doi:10.1016/0167-6687(93)90235-H |
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