SEMI-MARKOV REWARD MODELS FOR DISABILITY INSURANCE

FREDRIK STENBERG, RAIMONDO MANCA, AND DMITRII SILVESTROV

Theory of Stochastic Processes Vol. 12 (28), no. 3–4, 2006, pp. 239–254

A semi-Markov model for disability insurance is described. Statistical evidences of relevance semi-Markov setting are given. High order semi- Markov backward reward models are invented. Applications of these models to profit-risk analysis of disability insurance contracts are considered.

Full version