In this paper a stochastic model for disability insurance contracts is presented. The model is based on a discrete time non-homogeneous semi-Markov process to which the backward recurrence time process is joined. This permits us to study in a more complete way the disability evolution and to face the duration problem in a more effective way. The model is applied to a sample of contracts drawn at random from a mutual insurance company. (C) 2009 Elsevier B.V. All rights reserved.
Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application / Guglielmo, D'Amico; Montserrat, Guillen; Manca, Raimondo. - In: INSURANCE MATHEMATICS & ECONOMICS. - ISSN 0167-6687. - STAMPA. - 45:2(2009), pp. 173-179. [10.1016/j.insmatheco.2009.05.010]
Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application
MANCA, Raimondo
2009
Abstract
In this paper a stochastic model for disability insurance contracts is presented. The model is based on a discrete time non-homogeneous semi-Markov process to which the backward recurrence time process is joined. This permits us to study in a more complete way the disability evolution and to face the duration problem in a more effective way. The model is applied to a sample of contracts drawn at random from a mutual insurance company. (C) 2009 Elsevier B.V. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
