In this article, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a more efficient approach to the duration problem. The use of semi-Markov reward processes facilitates the possibility of deriving equations of the prospective and retrospective mathematical reserves. The model is applied to a sample of contracts drawn at random from a mutual insurance company.
Semi-Markov disability insurance models / Guglielmo, D'Amico; Montserrat, Guillen; Manca, Raimondo. - In: COMMUNICATIONS IN STATISTICS. THEORY AND METHODS. - ISSN 0361-0926. - STAMPA. - 42:16(2013), pp. 2872-2888. [10.1080/03610926.2012.746982]
Semi-Markov disability insurance models
MANCA, Raimondo
2013
Abstract
In this article, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a more efficient approach to the duration problem. The use of semi-Markov reward processes facilitates the possibility of deriving equations of the prospective and retrospective mathematical reserves. The model is applied to a sample of contracts drawn at random from a mutual insurance company.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.