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.

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Year of publication:	1993-06-01
Authors:	Dellaert, Dellaert, N.P. ; Frenk, Frenk, J.B.G. ; van Rijsoort, L.P.
Institutions:	Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
Subject:	Markov decision processes \| automobile insurance \| bonus—malus systems

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Extent:	application/pdf
Series:	Econometric Institute Research Papers. - ISSN 1566-7294.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series RePEc:ems:eureir
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010731618