Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application
AbstractIn 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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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 45 (2009)
Issue (Month): 2 (October)
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Web page: http://www.elsevier.com/locate/inca/505554
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- Catalina Bolancé & Ramon Alemany & Montserrat Guillén, 2010.
"Prediction of the economic cost of individual long-term care in the Spanish population,"
XREAP2010-08, Xarxa de Referència en Economia Aplicada (XREAP), revised Sep 2010.
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- 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.
- 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.
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