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

• D'Amico, Guglielmo ^[2] ; Guillén, Montserrat ^[1] ; Manca, Raimondo ^[3]
  1. [1] Universitat de Barcelona

     Universitat de Barcelona

     Barcelona, España

     
  2. [2] Università "G. D'Annunzio" (Italia)
  3. [3] Sapienza Universita di Roma (Italia)

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• Localización: Documentos de trabajo ( XREAP ), Nº. 5, 2012
• Idioma: inglés
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• Resumen

  • 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.