OPTIMAL CLAIM BEHAVIOR FOR VEHICLE DAMAGE INSURANCE

被引：3

作者：

DELLAERT, NP ^{[1
]}

FRENK, JBG ^{[1
]}

VANRIJSOORT, LP ^{[1
]}

机构：

[1] COOPERS & LYBRAND,UTRECHT,NETHERLANDS

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1993年 / 12卷 / 03期

关键词：

BONUS MALUS SYSTEMS; AUTOMOBILE INSURANCE; MARKOV DECISION PROCESSES;

D O I：

10.1016/0167-6687(93)90235-H

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：225 / 244

页数：20

共 5 条

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DELLAERT, NP ;

FRENK, JBG ;

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VANDERLAAN, BS .

INSURANCE MATHEMATICS & ECONOMICS, 1990, 9 (01) :59-76

[2]

*GOUDS VERZ, 1988, TAR PERS

[3] RISK-SENSITIVE MARKOV DECISION PROCESSES [J].

HOWARD, RA ;

MATHESON, JE .

MANAGEMENT SCIENCE SERIES A-THEORY, 1972, 18 (07) :356-369

[4]

Tijms H, 1986, STOCHASTIC MODELLING

[5]

VANRIJSOORT L, 1990, THESIS ERASMUS U ROT

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