Transaction time models in multi-state life insurance
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Transaction time models in multi-state life insurance. / Buchardt, Kristian; Furrer, Christian; Lunding Sandqvist, Oliver.
I: Scandinavian Actuarial Journal, Bind 10, 2023, s. 974-999.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Transaction time models in multi-state life insurance
AU - Buchardt, Kristian
AU - Furrer, Christian
AU - Lunding Sandqvist, Oliver
N1 - Publisher Copyright: © 2023 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2023
Y1 - 2023
N2 - In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Due to delays between the occurrence, reporting, and settlement of changes to the biometric state, the state process is not fully observable in real-time. This fact implies that the classic multi-state models for the biometric state of the insured are not able to describe the development of the policy in real-time, which encompasses handling of incurred-but-not-reported and reported-but-not-settled claims. We give a fundamental treatment of the problem in the setting of continuous-time multi-state life insurance by introducing a new class of models: transaction time models. The relation between the transaction time model and the classic model is studied and a result linking the present values in the two models is derived. The results and their practical implications are illustrated for disability coverages, where we obtain explicit expressions for the transaction time reserve in specific models.
AB - In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Due to delays between the occurrence, reporting, and settlement of changes to the biometric state, the state process is not fully observable in real-time. This fact implies that the classic multi-state models for the biometric state of the insured are not able to describe the development of the policy in real-time, which encompasses handling of incurred-but-not-reported and reported-but-not-settled claims. We give a fundamental treatment of the problem in the setting of continuous-time multi-state life insurance by introducing a new class of models: transaction time models. The relation between the transaction time model and the classic model is studied and a result linking the present values in the two models is derived. The results and their practical implications are illustrated for disability coverages, where we obtain explicit expressions for the transaction time reserve in specific models.
KW - claims reserves
KW - disability insurance
KW - piecewise deterministic processes
KW - Prospective reserves
KW - valid and real-time
UR - http://www.scopus.com/inward/record.url?scp=85149396451&partnerID=8YFLogxK
U2 - 10.1080/03461238.2023.2181708
DO - 10.1080/03461238.2023.2181708
M3 - Journal article
AN - SCOPUS:85149396451
VL - 10
SP - 974
EP - 999
JO - Scandinavian Actuarial Journal
JF - Scandinavian Actuarial Journal
SN - 0346-1238
ER -
ID: 340689197