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An approach to the study of multistate insurance contracts

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  • Joanna Dȩbicka

Abstract

We derive a matrix representation for formulas of moments of cash value of future payment streams arising from multistate insurance contract, where the evolution of the insured risk and the interest rate are random. As an application, we derive formulas for net single and period premiums. The general theory is illustrated with a case where the evolution of the insured risk is modeled by a Markov chain. Copyright © 2012 John Wiley & Sons, Ltd.

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  • Joanna Dȩbicka, 2013. "An approach to the study of multistate insurance contracts," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 29(3), pages 224-240, May.
    • Handle: RePEc:wly:apsmbi:v:29:y:2013:i:3:p:224-240
    DOI: 10.1002/asmb.1912
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