To cite this record:
Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance
D’Amico, Guglielmo
Guillén, Montserrat
Manca, Raimondo
Xarxa de Referència en Economia Aplicada (XREAP)

Imprint: Xarxa de Referència en Economia Aplicada (XREAP) 2012
Description: 29 p.
Series: XREAP ; 2012-05
Abstract: In this paper, 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.
Rights: L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: Creative Commons
Language: Anglès.
Document: workingPaper
Subject: Disability insurance ; Markov processes ; Assegurances d'invalidesa ; Processos de Markov

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29 p, 368.8 KB

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Research literature > Studies

 Record created 2012-08-31, last modified 2014-05-29

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