A fractional multi-states model for insurance

Donatien Hainaut
Additional contact information
Donatien Hainaut: Université catholique de Louvain, LIDAM/ISBA, Belgium

No 2021014, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Abstract: A common approach for pricing insurance contracts consists to represent the insured’s health status by a Markov chain. This article extends this framework by observing this chain on a random scale of time, defined as the inverse of an α-stable process. This stochastic clock induces sub-exponential waiting times spent in each state. We first review and extend the properties of this time-change to a conditional filtration at time t > 0. Next we evaluate a general type of insurance contract from inception to expiry.

Keywords: Markov chain; fractional calculus; time-changes; Mittag-Leffler function; semi-Markov process (search for similar items in EconPapers)
Date: 2021-01-01
Note: In: Insurance: Mathematics and Economics, Vol. 98, p. 120-132 (2021)
References: Add references at CitEc
Citations: View citations in EconPapers (2)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aiz:louvar:2021014

DOI: 10.1016/j.insmatheco.2021.02.004

Access Statistics for this paper

More papers in LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) Voie du Roman Pays 20, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Nadja Peiffer ().