Utilizad este identificador para citar o enlazar este documento: http://hdl.handle.net/2072/182670

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)
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.
03-2012
Disability insurance
Markov processes
336 - Finances. Banca. Moneda. Borsa
Assegurances d'invalidesa
Processos de Markov
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29 p.
Documento de trabajo
Xarxa de Referència en Economia Aplicada (XREAP)
XREAP;2012-05
         

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