Centro de Documentación de Fundación MAPFRE - A Hidden markov approach to disability insurance

MAP20180017032

A Hidden markov approach to disability insurance / Boualem Djehiche, Björn Löfdahl

Sumario: Point and interval estimation of future disability inception and recovery rates is predominantly carried out by combining generalized linear models with time series forecasting techniques into a two-step method involving parameter estimation from historical data and subsequent calibration of a time series model. This approach may lead to both conceptual and numerical problems since any time trend components of the model are incoherently treated as both model parameters and realizations of a stochastic process. We suggest that this general two-step approach can be improved in the following way: First, we assume a stochastic process form for the time trend component. The corresponding transition densities are then incorporated into the likelihood, and the model parameters are estimated using the Expectation-Maximization algorithm. We illustrate the modeling procedure by fitting the model to Swedish disability claims data

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 05/03/2018 Tomo 22 Número 1 - 2018 , p. 119-136

1. Modelo de Markov . 2. Discapacidad . 3. Seguro de incapacidad . 4. Procesos estocásticos . 5. Matemática del seguro . 6. Modelos estadísticos . 7. Suecia . I. Löfdahl, Björn . II. Título.