Optimal claim behaviour for third-party liability insurances or to claim or not to claim: that is the question

摘要

textabstractIt is proved that the optimal decision rule to claim or not to claim for damage is of the form: ‘to claim for damage only if its amount exceeds a certain limit’. Optimal critical claim sizes are derived, and a sensitivity analysis is given with respect to changes in (the parameters of) the distributions of the number of claims and the claim size.