A fractional multi-states model for insurance
(2021) , 25 pages
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LIDAMDiscussionPaperISBA202119_Afractionalmulti-statesmodelforinsurance.pdf
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- Abstract
- A common approach for pricing insurance contracts consists to represent the insured's health status by a Markov chain. This article extends this framework by observing this chain on a random scale of time, defined as the inverse of an α-stable process. This stochastic clock induces sub-exponential waiting times spent in each state. We first review and extend the properties of this time-change to a conditional filtration at time t > 0. Next we evaluate a general type of insurance contract from inception to expiry.
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Citations
Hainaut, D. (2021). A fractional multi-states model for insurance (LIDAM Discussion Paper ISBA 2021/19). https://hdl.handle.net/2078.5/114497