Bivariate phase-type distributions for experience rating in disability insurance

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<dc:creator>Furrer, Christian</dc:creator>
<dc:creator>Sørensen, Jacob Juhl</dc:creator>
<dc:creator>Yslas, Jorge</dc:creator>
<dc:creator>Springer</dc:creator>
<dc:date>2026-04-13</dc:date>
<dc:description xml:lang="es">Sumario: The article develops advanced mixed Poisson regression models applied to experience rating in disability insurance. It introduces hierarchical gamma distributions and multivariate phase-type distributions to model heterogeneity and dependence between disability and recovery rates. Estimation algorithms based on EM and ECM are presented, together with a simulation study comparing the predictive performance of the different approaches. The results show that phase-type models offer greater flexibility and improved predictive performance, especially when complex dependencies exist between latent group effects</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/190481.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Seguro de incapacidad</dc:subject>
<dc:subject xml:lang="es">Tarificación</dc:subject>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Riesgo aleatorio</dc:subject>
<dc:subject xml:lang="es">Rendimiento</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Bivariate phase-type distributions for experience rating in disability insurance</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 13/04/2026 Número 16 issue 1 - abril 2026 , 37 p.</dc:relation>
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