A continuous time solution for optimal claim limits in vehicle insurance

J S Dagpunar ()
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J S Dagpunar: University of Edinburgh

Journal of the Operational Research Society, 2000, vol. 51, issue 1, 123-128

Abstract: 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.

Keywords: dynamic programming; stochastic processes; insurance (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1057/palgrave.jors.2600845

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