Mägebier A (2013)
Publication Language: English
Publication Type: Journal article
Publication year: 2013
Publisher: Elsevier
Book Volume: 53
Pages Range: 802-811
Journal Issue: 3
In disability insurance, the impact of the duration since the inception of disability on future recovery and mortality rates has been modeled by bivariate Markov renewal processes and the associated semi-Markov process, but these processes do not incorporate potential dependences between the durations in two successive states. Thus, the aim of this paper is to introduce a discrete time trivariate Markov renewal reward model, an associated formula for higher moments and a corresponding simulation that include the potential dependence between the durations, i.e. the inter-arrival times, in two successive states. The proposed model is compared with two alternative models that do not include this dependence.
APA:
Mägebier, A. (2013). Valuation and Risk Assessment of Disability Insurance using a Discrete Time Trivariate Markov Renewal Reward Process. Insurance Mathematics & Economics, 53(3), 802-811.
MLA:
Mägebier, Alexander. "Valuation and Risk Assessment of Disability Insurance using a Discrete Time Trivariate Markov Renewal Reward Process." Insurance Mathematics & Economics 53.3 (2013): 802-811.
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