Optimal claim behaviour for vehicle damage insurances
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.
|Keywords||Markov decision processes, automobile insurance, bonus—malus systems|
|Persistent URL||dx.doi.org/10.1016/0167-6687(93)90235-H, hdl.handle.net/1765/11669|
Dellaert, N.P., Frenk, J.B.G., & 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