Stochastic modelling of disability insurance in a multi-period framework

Helena Aro; Boualem Djehiche; Björn Löfdahl

doi:10.1080/03461238.2013.779594

Stochastic modelling of disability insurance in a multi-period framework

Helena Aro, Boualem Djehiche, Björn Löfdahl

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English (US)
Pages (from-to)	88-106
Number of pages	19
Journal	Scandinavian Actuarial Journal
Volume	2015
Issue number	1
DOIs	https://doi.org/10.1080/03461238.2013.779594
State	Published - Jan 2 2015

Keywords

counting processes
disability insurance
generalized linear models
stochastic modelling

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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10.1080/03461238.2013.779594

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Stochastic modelling of disability insurance in a multi-period framework

Abstract

Keywords

ASJC Scopus subject areas

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