Stochastic modelling of disability insurance in a multi-period framework

Helena Aro, Boualem Djehiche and Björn Löfdahl

Scandinavian Actuarial Journal, 2015, vol. 2015, issue 1, 88-106

Abstract: We propose a stochastic semi-Markovian framework for disability modelling in a multi-period discrete-time setting. The logistic transforms of disability inception and recovery probabilities are modelled by means of stochastic risk factors and basis functions, using counting processes and generalized linear models. The model for disability inception also takes IBNR claims into consideration. We fit various versions of the models into Swedish disability claims data.

Date: 2015
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DOI: 10.1080/03461238.2013.779594

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