Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process

DOI10.1016/J.INSMATHECO.2013.09.013MaRDI QIDQ2015650zbMATH OpenOpenAlexFDO

Authors Alexander Maegebier

Publication date 23 June 2014

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2013.09.013

zbMATH Keywords

dependenceduration modeldisability insurancehigher momentsinter-arrival timeMarkov reward process

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

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Cites work

• scientific article; zbMATH DE number 1323217 (Why is no real title available?)
• scientific article; zbMATH DE number 1959511 (Why is no real title available?)
• scientific article; zbMATH DE number 2122817 (Why is no real title available?)
• Actuarial models for pricing disability benefits: Towards a unifying approach
• An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance
• Full backward non-homogeneous semi-Markov processes for disability insurance models: a Catalunya real data application
• Multistate models in health insurance
• Neue Rechnungsgrundlagen für die BerufsunfÄhigkeitsversicherung DAV1997
• Numerical solution of non-homogeneous semi-Markov processes in transient case
• Semi-Markov disability insurance models
• The actuarial treatment of the disability risk in Germany, Austria and Switzerland

Cited in

(10)

• Optimal long-term contracts with disability insurance under limited commitment
• Actuarial models for pricing disability benefits: Towards a unifying approach
• Risk aggregation and stochastic claims reserving in disability insurance
• The Impact of Disability Insurance on a Portfolio of Life Insurances
• Insuring wind energy production
• Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays
• Stochastic modelling of disability insurance in a multi-period framework
• Multi-state models for evaluating conversion options in life insurance
• Analysis of an aggregate loss model in a Markov renewal regime
• A Hidden Markov Approach to Disability Insurance

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