Furrer, Christian Bivariate phase-type distributions for experience rating in disability insurance / Christian Furrer, Jacob Juhl Sørensen and Jorge Yslas 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 En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 13/04/2026 Número 16 issue 1 - abril 2026 , 37 p. 1. Seguro de incapacidad . 2. Tarificación . 3. Modelos actuariales . 4. Riesgo aleatorio . 5. Rendimiento . I. Sørensen, Jacob Juhl . II. Yslas, Jorge . III. Springer . IV. Título.
Centro de Documentación y Conocimiento
Centro de Documentación y Conocimiento