4 papers
Disability insurance with collective health claims: A mean-field approach
Christian Furrer, Philipp C. Hornung
The classic semi-Markov disability model is expanded with individual and collective health claims to improve its explanatory and predictive power -- in particular in the context of…
Canonical insurance models: stochastic equations and comparison theorems
Marcus C. Christiansen, Christian Furrer
Thiele's differential equation explains the change in prospective reserve and plays a fundamental role in safe-side calculations and other types of actuarial model comparisons. Thi…
Bivariate phase-type distributions for experience rating in disability insurance
Christian Furrer, Jacob Juhl Sørensen, Jorge Yslas
In this paper, we consider the problem of experience rating within the classic Markov chain life insurance framework. We begin by establishing a link between mixed Poisson distribu…
Estimation for multistate models subject to reporting delays and incomplete event adjudication with application to disability insurance
K. Buchardt, C. Furrer, O. L. Sandqvist
Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and di…