Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application

D’Amico, Guglielmo; Guillén, Montserrat; Manca, Raimondo

doi:10.1016/j.insmatheco.2009.05.010

Cited by 25 publications

(20 citation statements)

References 9 publications

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“…Since we have used age groups of one year, we have quite an accurate estimate of the prevalence for every age and so we believe that the loss of precision is rather small. A continuous-time model, like the semi-Markovian one (see, D'Amico et al, 2009), with transition probabilities depending on the duration of a given state, would demand a much more complex mathematical setting.…”

Section: Discussionmentioning

confidence: 99%

Prediction of the Economic Cost of Individual Long-Term Care in the Spanish Population

Bolancé

Alemany

Guillén³

2010

SSRN Journal

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Section: Discussionmentioning

confidence: 99%

Prediction of the Economic Cost of Individual Long-Term Care in the Spanish Population

Bolancé

Alemany

Guillén³

2010

SSRN Journal

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“…In [8,9] an efficient way is presented regarding how to use the discrete time framework in the context of disability insurance. An extension of this method to a trivariate Markov process can be found in [10].…”

Section: Semi-markov Model and Risk Decompositionmentioning

confidence: 99%

Safety Margins for Systematic Biometric and Financial Risk in a Semi-Markov Life Insurance Framework

Niemeyer

2015

Risks

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Insurance companies use conservative first order valuation bases to calculate insurance premiums and reserves. These valuation bases have a significant impact on the insurer's solvency and on the premiums of the insurance products. Safety margins for systematic biometric and financial risk are in practice typically chosen as time-constant percentages on top of the best estimate transition intensities. We develop a risk-oriented method for the allocation of a total safety margin to the single safety margins at each point in time and each state. In a case study, we demonstrate the suitability of the proposed method in different frameworks. The results show that the traditional method yields an unwanted variability of the safety level with respect to time, whereas the variability can be significantly reduced by the new method. Furthermore, the case study supports the German 60 percent rule for the technical interest rate.

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“…The maturity of the corresponding insurance product is deterministic because the contract duration is generally determined as the fixed temporal difference between the retirement age and the conclusion of the contract. However, other papers apply different definitions, namely, the inability to perform daily life activities for instance (D'Amico et al, 2009;Levantesi and Menzietti, 2012). The affiliated insurance product relates to long-term care and, thus, may involve a lifelong annuity.…”

Section: Notesmentioning

confidence: 99%

Securitization of disability risk via bonds and swaps

Maegebier

2015

The Journal of Risk Finance

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If you would like to write for this, or any other Emerald publication, then please use our Emerald for Authors service information about how to choose which publication to write for and submission guidelines are available for all. Please visit www.emeraldinsight.com/authors for more information. About Emerald www.emeraldinsight.comEmerald is a global publisher linking research and practice to the benefit of society. The company manages a portfolio of more than 290 journals and over 2,350 books and book series volumes, as well as providing an extensive range of online products and additional customer resources and services.Emerald is both COUNTER 4 and TRANSFER compliant. The organization is a partner of the Committee on Publication Ethics (COPE) and also works with Portico and the LOCKSS initiative for digital archive preservation. AbstractPurpose -Two strands of the literature are combined, namely the modeling of disability insurance and the design, valuation and discussion of insurance-linked securities. Design/methodology/approach -This paper provides a discussion regarding the advantages and detriments of disability-linked securities in comparison with mortality-linked bonds and swaps as well as regarding potential disability-linked indices and the potential use. The discussion is followed by an introduction of a potential design and a corresponding valuation of disability bonds and swaps. Findings -This securitization will provide useful tools for the risk management of disability risk in a risk-based regulatory framework. Originality/value -No disability-linked securities have been defined and discussed so far.

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Full backward non-homogeneous semi-Markov processes for disability insurance models: A Catalunya real data application

Cited by 25 publications

References 9 publications

Prediction of the Economic Cost of Individual Long-Term Care in the Spanish Population

Prediction of the Economic Cost of Individual Long-Term Care in the Spanish Population

Safety Margins for Systematic Biometric and Financial Risk in a Semi-Markov Life Insurance Framework

Securitization of disability risk via bonds and swaps

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