Bivariate phase-type distributions for experience rating in disability insurance

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      <subfield code="a">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</subfield>
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      <subfield code="g">13/04/2026 Número 16 issue 1 - abril 2026 , 37 p.</subfield>
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