dc.contributor |
Xarxa de Referència en Economia Aplicada (XREAP) |
dc.contributor.author |
D’Amico, Guglielmo |
dc.contributor.author |
Guillén, Montserrat |
dc.contributor.author |
Manca, Raimondo |
dc.contributor.author |
|
dc.date.accessioned |
2012-03-30T08:02:42Z |
dc.date.accessioned |
2021-01-20T16:46:29Z |
dc.date.available |
2012-03-30T08:02:42Z |
dc.date.available |
2021-01-20T16:46:29Z |
dc.date.created |
2012-03 |
dc.date.issued |
2012-03 |
dc.identifier.uri |
http://hdl.handle.net/2072/182670 |
dc.format.extent |
29 p. |
dc.language.iso |
eng |
dc.publisher |
Xarxa de Referència en Economia Aplicada (XREAP) |
dc.relation.ispartofseries |
XREAP;2012-05 |
dc.rights |
info:eu-repo/semantics/openAccess |
dc.rights |
L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by/3.0/es/ |
dc.source |
RECERCAT (Dipòsit de la Recerca de Catalunya) |
dc.subject |
Disability insurance |
dc.subject |
Markov processes |
dc.subject.other |
Assegurances d'invalidesa |
dc.subject.other |
Processos de Markov |
dc.title |
Discrete time Non-homogeneous Semi-Markov Processes applied to Models for Disability Insurance |
dc.type |
info:eu-repo/semantics/workingPaper |
dc.subject.udc |
336 - Finances. Banca. Moneda. Borsa |
dc.embargo.terms |
cap |
dc.description.abstract |
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. |