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| Home > Research literature > Studies > Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance |
| 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:  |
| Form: | workingPaper |
| Subject: | Disability insurance ; Markov processes ; Assegurances d'invalidesa ; Processos de Markov |
29 p, 368.8 KB |
