Optimal claim behaviour for vehicle damage insurances

DOI10.1016/0167-6687(93)90235-HMaRDI QIDQ689563zbMATHFDO

Authors J. B. G. Frenk, L. P. van Rijsoort, Nico Dellaert

Publication date 12 December 1993

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

zbMATH Keywords

Markov decision processesoptimal stopping ruleautomobile insurancebonus-malus systemsoptimal claim behaviourrisk sensitive policy holdervehicle damage insurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of mathematical programming (90C90) Statistical tables (62Q05) Markov and semi-Markov decision processes (90C40)

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Cites work

• A simple technique in Markovian control with applications to resource allocation to resource allocation in communication networks
• Optimal claim behaviour for third-party liability insurances or To claim or not to claim: that is the question
• Risk-Sensitive Markov Decision Processes

Cited in

(9)

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• Optimal Claiming in an Automobile Insurance System with Bonus-Malus Structure
• A continuous time solution for optimal claim limits in vehicle insurance
• Optimal claim behaviour for third-party liability insurances with perfect information
• Optimal Spacing of “Covered” and “Exposed” Time Intervals in a Stochastic Process with High Penalty Costs: Applications to Parking and Insurance
• Optimal decision rule in forming an insurance portfolio
• Optimal, near-optimal and rule-of-thumb claiming rules for a protected bonus vehicle insurance policy
• Choosing the instant of insurance commencement
• Optimal decisions for an insurance contract with experience rating

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