98299 hdl_2072_13171 oai:www.recercat.cat:2072/182670 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. eng D’Amico, Guglielmo Guillén, Montserrat Manca, Raimondo Xarxa de Referència en Economia Aplicada (XREAP) Xarxa de Referència en Economia Aplicada (XREAP) 2012 Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance 29 p. 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 336 Disability insurance Markov processes Assegurances d'invalidesa Processos de Markov info:eu-repo/semantics/workingPaper XREAP ; 2012-05 http://ddd.uab.cat/pub/estudis/2012/hdl_2072_182670/XREAP2012-05.pdf 377699 29 Adreça alternativa http://hdl.handle.net/2072/182670 ESTUDIS UAB driver oai:ddd.uab.cat:98299