An Algorithmic Approach to Discrete Time Non-homogeneous Backward Semi-Markov Reward Processes with an Application to Disability Insurance
Fredrik Stenberg (),
Raimondo Manca () and
Dmitrii Silvestrov ()
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Fredrik Stenberg: Mälardalen University
Raimondo Manca: Università di Roma La Sapienza via del Castro Laurenziano, 9
Dmitrii Silvestrov: Mälardalen University
Methodology and Computing in Applied Probability, 2007, vol. 9, issue 4, 497-519
Abstract In this paper semi-Markov reward models are presented. Higher moments of the reward process is presented for the first time applied to in time non-homogeneous semi-Markov insurance problems. Also an example is presented based on real disability data. Different algorithmic approaches to solve the problem is described.
Keywords: Semi-Markov process; Discrete time; Actuarial; Higher moments; Variance; Reward process; Skewness; Kurtosis; 60K15; 60K20; 91B30 (search for similar items in EconPapers)
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