Optimal Claim Settlement Strategies under Constraint of Cap on Claim Loss
In this paper, we examine the question of how to devise an optimal insurance claim settlement scheme under the constraint of a cap on the amount of the claim payment. We establish objective functions to maximize the net benefit due to exaggerated claims while at the same time maximizing the total ex...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-12-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/9/24/3284 |
| _version_ | 1827671315183566848 |
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| author | Hong Mao Krzysztof Ostaszewski |
| author_facet | Hong Mao Krzysztof Ostaszewski |
| author_sort | Hong Mao |
| collection | DOAJ |
| description | In this paper, we examine the question of how to devise an optimal insurance claim settlement scheme under the constraint of a cap on the amount of the claim payment. We establish objective functions to maximize the net benefit due to exaggerated claims while at the same time maximizing the total expected wealth of the insured. Then, we establish a dual objective function to minimize the total expected loss, including the perspective of the insurer. Finally, we illustrate applications of our work and provide numerical analysis of it along with an example. |
| first_indexed | 2024-03-10T03:37:23Z |
| format | Article |
| id | doaj.art-a0bc3c47e08249bb80ea8c5b9dfc23dd |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T03:37:23Z |
| publishDate | 2021-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-a0bc3c47e08249bb80ea8c5b9dfc23dd2023-11-23T09:26:57ZengMDPI AGMathematics2227-73902021-12-01924328410.3390/math9243284Optimal Claim Settlement Strategies under Constraint of Cap on Claim LossHong Mao0Krzysztof Ostaszewski1School of Economics and Management, Shanghai Second Polytechnic University, Shanghai 201209, ChinaDepartment of of Mathematics, Illinois State University, Normal, IL 61790-4520, USAIn this paper, we examine the question of how to devise an optimal insurance claim settlement scheme under the constraint of a cap on the amount of the claim payment. We establish objective functions to maximize the net benefit due to exaggerated claims while at the same time maximizing the total expected wealth of the insured. Then, we establish a dual objective function to minimize the total expected loss, including the perspective of the insurer. Finally, we illustrate applications of our work and provide numerical analysis of it along with an example.https://www.mdpi.com/2227-7390/9/24/3284insurance contractinsurance claimclaim capinsured loss |
| spellingShingle | Hong Mao Krzysztof Ostaszewski Optimal Claim Settlement Strategies under Constraint of Cap on Claim Loss Mathematics insurance contract insurance claim claim cap insured loss |
| title | Optimal Claim Settlement Strategies under Constraint of Cap on Claim Loss |
| title_full | Optimal Claim Settlement Strategies under Constraint of Cap on Claim Loss |
| title_fullStr | Optimal Claim Settlement Strategies under Constraint of Cap on Claim Loss |
| title_full_unstemmed | Optimal Claim Settlement Strategies under Constraint of Cap on Claim Loss |
| title_short | Optimal Claim Settlement Strategies under Constraint of Cap on Claim Loss |
| title_sort | optimal claim settlement strategies under constraint of cap on claim loss |
| topic | insurance contract insurance claim claim cap insured loss |
| url | https://www.mdpi.com/2227-7390/9/24/3284 |
| work_keys_str_mv | AT hongmao optimalclaimsettlementstrategiesunderconstraintofcaponclaimloss AT krzysztofostaszewski optimalclaimsettlementstrategiesunderconstraintofcaponclaimloss |