A continuous time solution for optimal claim limits in vehicle insurance

The traditional method of obtaining optimal claim limits for vehicle insurance is to discretise the state space and use successive approximations. In this paper we show how the stochastic dynamic programming equations reduce to a set of differential equations, in which these are easily solved to pro...

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Veröffentlicht in:	The Journal of the Operational Research Society 2000-01, Vol.51 (1), p.123-128
1. Verfasser:	Dagpunar, J S
Format:	Artikel
Sprache:	eng
Schlagworte:	Accident rates Accidents Applied sciences Automobile insurance Business and Management Cost allocation Dynamic programming Exact sciences and technology insurance Insurance claims Insurance policies Insurance premiums Management Mathematical programming Operational research and scientific management Operational research. Management science Operations research Operations Research/Decision Theory Risk premiums Risk theory. Actuarial science Stochastic models stochastic processes Studies Technical Note Technical Notes
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Beschreibung
Zusammenfassung:	The traditional method of obtaining optimal claim limits for vehicle insurance is to discretise the state space and use successive approximations. In this paper we show how the stochastic dynamic programming equations reduce to a set of differential equations, in which these are easily solved to provide exact continuous time solutions. The resulting model can be used for evaluating alternative levels of excess.
ISSN:	0160-5682 1476-9360
DOI:	10.1057/palgrave.jors.2600845