Abstract
Abstract: We propose a stochastic semi-Markovian framework for disability modelling in a multi-period discrete-time setting. The logistic transforms of disability inception and recovery probabilities are modelled by means of stochastic risk factors and basis functions, using counting processes and generalized linear models. The model for disability inception also takes IBNR claims into consideration. We fit various versions of the models into Swedish disability claims data.
Original language | English |
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Pages (from-to) | 88-106 |
Number of pages | 19 |
Journal | SCANDINAVIAN ACTUARIAL JOURNAL |
Volume | 2015 |
Issue number | 1 |
DOIs | |
Publication status | Published - 2 Jan 2015 |
MoE publication type | A1 Journal article-refereed |
Keywords
- counting processes
- disability insurance
- generalized linear models
- stochastic modelling