Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance


Autoria(s): D’Amico, Guglielmo; Guillén, Montserrat; Manca, Raimondo
Contribuinte(s)

Xarxa de Referència en Economia Aplicada (XREAP)

Data(s)

01/03/2012

Resumo

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.

Formato

29 p.

Identificador

http://hdl.handle.net/2072/182670

Idioma(s)

eng

Publicador

Xarxa de Referència en Economia Aplicada (XREAP)

Relação

XREAP;2012-05

Direitos

info:eu-repo/semantics/openAccess

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/

Fonte

RECERCAT (Dipòsit de la Recerca de Catalunya)

Palavras-Chave #Disability insurance #Markov processes #Assegurances d'invalidesa #Processos de Markov #336 - Finances. Banca. Moneda. Borsa
Tipo

info:eu-repo/semantics/workingPaper