Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application

Guglielmo D'Amico, Montserrat Guillen and Raimondo Manca

Insurance: Mathematics and Economics, 2009, vol. 45, issue 2, 173-179

Abstract: In this paper a stochastic model for disability insurance contracts is presented. The model is based on a discrete time non-homogeneous semi-Markov process to which the backward recurrence time process is joined. This permits us to study in a more complete way the disability evolution and to face the duration problem in a more effective way. The model is applied to a sample of contracts drawn at random from a mutual insurance company.

Keywords: Multi; state; model; Duration; model (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:45:y:2009:i:2:p:173-179

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