In this paper we analyse the optimal claim behaviour of a risk sensitive policy holder having a vehicle damage insurance. It is proved that the optimal decision is of the form: to claim for damages only if its amount exceeds a certain limit. Moreover, we also derive the optimal stopping rule to...

In this paper we analyse the optimal claim behaviour of a policy holder having a third-party liability insurance in which one is allowed to decide at the end of an insurance year which damages occurred during that year should be claimed. This analysis can only be carried out in detail in case...