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Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application

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Author Info

  • D'Amico, Guglielmo
  • Guillen, Montserrat
  • Manca, Raimondo

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.

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File URL: http://www.sciencedirect.com/science/article/B6V8N-4WDNKPY-1/2/aa9e75ddf20c3e28e7388b8bb3653d61
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Bibliographic Info

Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

Volume (Year): 45 (2009)
Issue (Month): 2 (October)
Pages: 173-179

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Handle: RePEc:eee:insuma:v:45:y:2009:i:2:p:173-179

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Web page: http://www.elsevier.com/locate/inca/505554

Related research

Keywords: Multi state model Duration model;

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Cited by:
  1. Catalina Bolancé & Ramon Alemany & Montserrat Guillén, 2010. "Prediction of the economic cost of individual long-term care in the Spanish population," Working Papers XREAP2010-08, Xarxa de Referència en Economia Aplicada (XREAP), revised Sep 2010.
  2. Maegebier, Alexander, 2013. "Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 802-811.
  3. Guglielmo D’Amico & Montserrat Guillen & Raimondo Manca, 2012. "Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance," Working Papers XREAP2012-05, Xarxa de Referència en Economia Aplicada (XREAP), revised Mar 2012.
  4. D’Amico, Guglielmo & Petroni, Filippo & Prattico, Flavio, 2013. "First and second order semi-Markov chains for wind speed modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1194-1201.

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