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...
Gespeichert in:
| Veröffentlicht in: | The Journal of the Operational Research Society 2000-01, Vol.51 (1), p.123-128 |
|---|---|
| 1. Verfasser: | |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 128 |
|---|---|
| container_issue | 1 |
| container_start_page | 123 |
| container_title | The Journal of the Operational Research Society |
| container_volume | 51 |
| creator | Dagpunar, J S |
| description | 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. |
| doi_str_mv | 10.1057/palgrave.jors.2600845 |
| format | Article |
| fullrecord | <record><control><sourceid>jstor_proqu</sourceid><recordid>TN_cdi_jstor_primary_10_2307_253954</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><jstor_id>253954</jstor_id><sourcerecordid>253954</sourcerecordid><originalsourceid>FETCH-LOGICAL-c418t-276396c8634c8f62ad3d8dda635527c4255799699d38bee5b26ffb68c2a54763</originalsourceid><addsrcrecordid>eNqFkctOAyEYhYnRxFp9BBOixt1ULgMz7DSNt8TEjXtCGUZpGKgwo-nbSzM1NS50BYHv_JxzAOAUoxlGrLpaKfca1YeZLUNMM8IRqku2Bya4rHghKEf7YIIwRwXjNTkERyktEUICYTEBDzdQB99bP4Qhwd52Bqbght4GD9sQYVjlM-Wgdsp20NnO9glaDz_Mm9XO5G0aovLaHIODVrlkTrbrFLzc3b7MH4qn5_vH-c1ToUtc9wWpOBVc15yWum45UQ1t6qZRnDJGKl0SxiohuBANrRfGsAXhbbvgtSaK5Th0Ci7HsasY3geTetnZpI1zypucQJKKMCEEzuDZL3AZhuizNUkoJgwxIjLERkjHkFI0rVzFHDeuJUZy06387lZuupXbbrPuYjtcJa1cu2nApp2YCJGNZIyPWMo3_tXEnYf_5p-PwmXqQ_xpilBUScKoYGWmrkfK-vxVnfoM0TWyV2sX4rcl-vdDX8dlsck</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>231250529</pqid></control><display><type>article</type><title>A continuous time solution for optimal claim limits in vehicle insurance</title><source>Jstor Complete Legacy</source><creator>Dagpunar, J S</creator><creatorcontrib>Dagpunar, J S</creatorcontrib><description>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.</description><identifier>ISSN: 0160-5682</identifier><identifier>EISSN: 1476-9360</identifier><identifier>DOI: 10.1057/palgrave.jors.2600845</identifier><identifier>CODEN: JORSDZ</identifier><language>eng</language><publisher>London: Taylor & Francis</publisher><subject>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</subject><ispartof>The Journal of the Operational Research Society, 2000-01, Vol.51 (1), p.123-128</ispartof><rights>Copyright © 2000, Operational Research Society 2000</rights><rights>Copyright 2000 Operational Research Society Ltd</rights><rights>Operational Research Society 2000</rights><rights>2000 INIST-CNRS</rights><rights>Copyright (c) 2000 Operational Research Society</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/253954$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/253954$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,776,780,799,4009,27902,27903,27904,57995,58228</link.rule.ids><backlink>$$Uhttp://pascal-francis.inist.fr/vibad/index.php?action=getRecordDetail&idt=1299272$$DView record in Pascal Francis$$Hfree_for_read</backlink></links><search><creatorcontrib>Dagpunar, J S</creatorcontrib><title>A continuous time solution for optimal claim limits in vehicle insurance</title><title>The Journal of the Operational Research Society</title><addtitle>J Oper Res Soc</addtitle><description>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.</description><subject>Accident rates</subject><subject>Accidents</subject><subject>Applied sciences</subject><subject>Automobile insurance</subject><subject>Business and Management</subject><subject>Cost allocation</subject><subject>Dynamic programming</subject><subject>Exact sciences and technology</subject><subject>insurance</subject><subject>Insurance claims</subject><subject>Insurance policies</subject><subject>Insurance premiums</subject><subject>Management</subject><subject>Mathematical programming</subject><subject>Operational research and scientific management</subject><subject>Operational research. Management science</subject><subject>Operations research</subject><subject>Operations Research/Decision Theory</subject><subject>Risk premiums</subject><subject>Risk theory. Actuarial science</subject><subject>Stochastic models</subject><subject>stochastic processes</subject><subject>Studies</subject><subject>Technical Note</subject><subject>Technical Notes</subject><issn>0160-5682</issn><issn>1476-9360</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2000</creationdate><recordtype>article</recordtype><sourceid>8G5</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><sourceid>GNUQQ</sourceid><sourceid>GUQSH</sourceid><sourceid>M2O</sourceid><recordid>eNqFkctOAyEYhYnRxFp9BBOixt1ULgMz7DSNt8TEjXtCGUZpGKgwo-nbSzM1NS50BYHv_JxzAOAUoxlGrLpaKfca1YeZLUNMM8IRqku2Bya4rHghKEf7YIIwRwXjNTkERyktEUICYTEBDzdQB99bP4Qhwd52Bqbght4GD9sQYVjlM-Wgdsp20NnO9glaDz_Mm9XO5G0aovLaHIODVrlkTrbrFLzc3b7MH4qn5_vH-c1ToUtc9wWpOBVc15yWum45UQ1t6qZRnDJGKl0SxiohuBANrRfGsAXhbbvgtSaK5Th0Ci7HsasY3geTetnZpI1zypucQJKKMCEEzuDZL3AZhuizNUkoJgwxIjLERkjHkFI0rVzFHDeuJUZy06387lZuupXbbrPuYjtcJa1cu2nApp2YCJGNZIyPWMo3_tXEnYf_5p-PwmXqQ_xpilBUScKoYGWmrkfK-vxVnfoM0TWyV2sX4rcl-vdDX8dlsck</recordid><startdate>20000101</startdate><enddate>20000101</enddate><creator>Dagpunar, J S</creator><general>Taylor & Francis</general><general>Macmillan Press</general><general>Palgrave Macmillan UK</general><general>Palgrave</general><general>Taylor & Francis Ltd</general><scope>IQODW</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>3V.</scope><scope>7RQ</scope><scope>7WY</scope><scope>7WZ</scope><scope>7X7</scope><scope>7XB</scope><scope>87Z</scope><scope>88E</scope><scope>8AL</scope><scope>8FE</scope><scope>8FG</scope><scope>8FI</scope><scope>8FJ</scope><scope>8FK</scope><scope>8FL</scope><scope>8G5</scope><scope>ABJCF</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ARAPS</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>BGLVJ</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>FYUFA</scope><scope>F~G</scope><scope>GHDGH</scope><scope>GNUQQ</scope><scope>GUQSH</scope><scope>HCIFZ</scope><scope>JQ2</scope><scope>K60</scope><scope>K6~</scope><scope>K7-</scope><scope>K9.</scope><scope>L.-</scope><scope>L6V</scope><scope>M0C</scope><scope>M0N</scope><scope>M0S</scope><scope>M1P</scope><scope>M2O</scope><scope>M7S</scope><scope>MBDVC</scope><scope>P5Z</scope><scope>P62</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PTHSS</scope><scope>Q9U</scope><scope>U9A</scope><scope>7SC</scope><scope>8FD</scope><scope>L7M</scope><scope>L~C</scope><scope>L~D</scope></search><sort><creationdate>20000101</creationdate><title>A continuous time solution for optimal claim limits in vehicle insurance</title><author>Dagpunar, J S</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c418t-276396c8634c8f62ad3d8dda635527c4255799699d38bee5b26ffb68c2a54763</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2000</creationdate><topic>Accident rates</topic><topic>Accidents</topic><topic>Applied sciences</topic><topic>Automobile insurance</topic><topic>Business and Management</topic><topic>Cost allocation</topic><topic>Dynamic programming</topic><topic>Exact sciences and technology</topic><topic>insurance</topic><topic>Insurance claims</topic><topic>Insurance policies</topic><topic>Insurance premiums</topic><topic>Management</topic><topic>Mathematical programming</topic><topic>Operational research and scientific management</topic><topic>Operational research. Management science</topic><topic>Operations research</topic><topic>Operations Research/Decision Theory</topic><topic>Risk premiums</topic><topic>Risk theory. Actuarial science</topic><topic>Stochastic models</topic><topic>stochastic processes</topic><topic>Studies</topic><topic>Technical Note</topic><topic>Technical Notes</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Dagpunar, J S</creatorcontrib><collection>Pascal-Francis</collection><collection>CrossRef</collection><collection>ProQuest Central (Corporate)</collection><collection>Career & Technical Education Database</collection><collection>ABI/INFORM Collection</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>Health & Medical Collection</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>Medical Database (Alumni Edition)</collection><collection>Computing Database (Alumni Edition)</collection><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>Hospital Premium Collection</collection><collection>Hospital Premium Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>Research Library (Alumni Edition)</collection><collection>Materials Science & Engineering Collection</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Advanced Technologies & Aerospace Collection</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>Technology Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>Business Premium Collection (Alumni)</collection><collection>Health Research Premium Collection</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>Health Research Premium Collection (Alumni)</collection><collection>ProQuest Central Student</collection><collection>Research Library Prep</collection><collection>SciTech Premium Collection</collection><collection>ProQuest Computer Science Collection</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>Computer Science Database</collection><collection>ProQuest Health & Medical Complete (Alumni)</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ProQuest Engineering Collection</collection><collection>ABI/INFORM Global</collection><collection>Computing Database</collection><collection>Health & Medical Collection (Alumni Edition)</collection><collection>Medical Database</collection><collection>Research Library</collection><collection>Engineering Database</collection><collection>Research Library (Corporate)</collection><collection>Advanced Technologies & Aerospace Database</collection><collection>ProQuest Advanced Technologies & Aerospace Collection</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>Engineering Collection</collection><collection>ProQuest Central Basic</collection><collection>Computer and Information Systems Abstracts</collection><collection>Technology Research Database</collection><collection>Advanced Technologies Database with Aerospace</collection><collection>Computer and Information Systems Abstracts Academic</collection><collection>Computer and Information Systems Abstracts Professional</collection><jtitle>The Journal of the Operational Research Society</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Dagpunar, J S</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A continuous time solution for optimal claim limits in vehicle insurance</atitle><jtitle>The Journal of the Operational Research Society</jtitle><stitle>J Oper Res Soc</stitle><date>2000-01-01</date><risdate>2000</risdate><volume>51</volume><issue>1</issue><spage>123</spage><epage>128</epage><pages>123-128</pages><issn>0160-5682</issn><eissn>1476-9360</eissn><coden>JORSDZ</coden><abstract>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.</abstract><cop>London</cop><pub>Taylor & Francis</pub><doi>10.1057/palgrave.jors.2600845</doi><tpages>6</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0160-5682 |
| ispartof | The Journal of the Operational Research Society, 2000-01, Vol.51 (1), p.123-128 |
| issn | 0160-5682 1476-9360 |
| language | eng |
| recordid | cdi_jstor_primary_10_2307_253954 |
| source | Jstor Complete Legacy |
| subjects | 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 |
| title | A continuous time solution for optimal claim limits in vehicle insurance |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-26T18%3A16%3A02IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-jstor_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=A%20continuous%20time%20solution%20for%20optimal%20claim%20limits%20in%20vehicle%20insurance&rft.jtitle=The%20Journal%20of%20the%20Operational%20Research%20Society&rft.au=Dagpunar,%20J%20S&rft.date=2000-01-01&rft.volume=51&rft.issue=1&rft.spage=123&rft.epage=128&rft.pages=123-128&rft.issn=0160-5682&rft.eissn=1476-9360&rft.coden=JORSDZ&rft_id=info:doi/10.1057/palgrave.jors.2600845&rft_dat=%3Cjstor_proqu%3E253954%3C/jstor_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=231250529&rft_id=info:pmid/&rft_jstor_id=253954&rfr_iscdi=true |