Stochastic modelling of disability insurance in a multi-period framework
2015 (English)In: Scandinavian Actuarial Journal, ISSN 0346-1238, E-ISSN 1651-2030, no 1, 88-106 p.Article in journal (Refereed) Published
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.
Place, publisher, year, edition, pages
2015. no 1, 88-106 p.
disability insurance, stochastic modelling, counting processes, generalized linear models
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:kth:diva-136247DOI: 10.1080/03461238.2013.779594ISI: 000345384800005ScopusID: 2-s2.0-84912524177OAI: oai:DiVA.org:kth-136247DiVA: diva2:675636
QC 20150113. Updated from e-pub ahead of print.2013-12-042013-12-042015-10-12Bibliographically approved