eng 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) info:eu-repo/semantics/workingPaper Xarxa de Referència en Economia Aplicada (XREAP) 2012 Disability insurance Markov processes Assegurances d'invalidesa Processos de Markov http://ddd.uab.cat/record/98299 oai:www.recercat.cat:2072/182670 oai:ddd.uab.cat:98299 L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by/3.0/es/ info:eu-repo/semantics/openAccess 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.