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

DOI10.1016/j.insmatheco.2013.09.013zbMath1290.91096OpenAlexW2041004371MaRDI QIDQ2015650

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

disability insurancedependenceduration modelhigher momentsinter-arrival timeMarkov reward process

Mathematics Subject Classification ID

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

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Multi-state models for evaluating conversion options in life insurance, Insuring wind energy production, Optimal long-term contracts with disability insurance under limited commitment, The Impact of Disability Insurance on a Portfolio of Life Insurances, Analysis of an aggregate loss model in a Markov renewal regime, Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays

Cites Work

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