Optimal claim behaviour for third-party liability insurances or to claim or not to claim: that is the question

https://doi.org/10.1016/0167-6687(90)90016-7Get rights and content

Abstract

It is proved that the optimal decision rule to claim or not to claim for damage is of the form: ‘to claim for damage only if its amount exceeds a certain limit’. Optimal critical claim sizes are derived, and a sensitivity analysis is given with respect to changes in (the parameters of) the distributions of the number of claims and the claim size.

References (33)

  • B.J.J. Alting von Geusau

    The influence of a no-claim-discount-system on the behaviour of the insured clientele of an insurance company: A first approach

    (1968)
  • D.P. Bertsekas

    Dynamic Programming and Stochastic Control

    (1976)
  • G. De Leve et al.

    Driving with Markov-programming

    The ASTIN Bulletin

    (1968)
  • N. De Pril

    The efficiency of a bonus–malus system

    The ASTIN Bulletin

    (1978)
  • N. De Pril

    Optimal claim decisions for a bonus–malus system: A continuous approach

    The ASTIN Bulletin

    (1979)
  • M. Derron

    A theoretical study of the no-claim bonus problem

    The ASTIN Bulletin

    (1965)
  • U. Grenander

    Some remarks on bonus systems in automobile insurance

    Skandinavisk Aktuarietidskrift

    (1957)
  • M. Gürtler

    Das subjective Risico in der Motorfahrzeugversicherung

    Zeitschrift für die Gesamte Versicherungs-Wissenschaft

    (1960)
  • M. Gürtler

    Der Bonus als Mittel zur Erfassung des subjectiven Risicos

    Zeitschrift für die Gesamte Versicherungs-Wissenschaft

    (1961)
  • M. Gürtler

    Der optimale Bonus

    Zeitschrift für die Gesamte Versicherungs-Wissenschaft

    (1962)
  • C. Haehling von Lanzenauer

    Entscheidungsregeln für das optimale Verhalten in der Kraftfahrtversicherung

    Unternemensforschung

    (1969)
  • C. Haehling von Lanzenauer

    Decision problems in the Canadian automobile insurance systems

    Journal of Risk and Insurance

    (1972)
  • C. Haehling von Lanzenauer

    The effects of the insurees' decisions on the insurer's profit

  • C. Haehling von Lanzenauer

    Optimal claim decisions by policyholders in automobile insurance with merit-rating structures

    Operations Research

    (1974)
  • C. Haehling von Lanzenauer et al.

    The propensity to cause accidents

    The ASTIN Bulletin

    (1973)
  • N.A.J. Hastings

    Optimal claiming on vehicle insurance

    Operational Research Quarterly

    (1976)
  • Cited by (0)

    View full text