Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance
Contribuinte(s) |
Xarxa de Referència en Economia Aplicada (XREAP) |
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Data(s) |
01/03/2012
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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 | |
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 |