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An approach to the study of multistate insurance contracts
Author(s) -
Dȩbicka Joanna
Publication year - 2012
Publication title -
applied stochastic models in business and industry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.413
H-Index - 40
eISSN - 1526-4025
pISSN - 1524-1904
DOI - 10.1002/asmb.1912
Subject(s) - markov chain , payment , cash flow , net present value , representation (politics) , actuarial science , present value , econometrics , value (mathematics) , mathematics , economics , statistics , finance , microeconomics , production (economics) , politics , political science , law
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.