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Disability insurance with collective health claims: A mean-field approach

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  • Furrer, Christian
  • Hornung, Philipp C.

Abstract

The classic semi-Markov disability model is expanded with individual and collective health claims to improve its explanatory and predictive power – in particular in the context of group experience rating. The inclusion of collective health claims leads to a computationally challenging many-body problem. By adopting a mean-field approach, this many-body problem can be approximated by a non-linear one-body problem, which in turn leads to a transparent pricing method for disability coverages based on a lower-dimensional system of non-linear forward integro-differential equations. In a practice-oriented simulation study, the mean-field approximation clearly stands its ground in comparison to naïve Monte Carlo methods.

Suggested Citation

  • Furrer, Christian & Hornung, Philipp C., 2026. "Disability insurance with collective health claims: A mean-field approach," Insurance: Mathematics and Economics, Elsevier, vol. 129(C).
    • Handle: RePEc:eee:insuma:v:129:y:2026:i:c:s0167668726000569
    DOI: 10.1016/j.insmatheco.2026.103266
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