The recursive calculation of the moments of the profit on a sickness insurance policy

Howard Waters

Research output: Contribution to journalArticle

Abstract

This paper discusses the calculation of the moments of the present value of the profit on a sickness insurance policy. The mathematical model for sickness insurance is a three-state continuous time semi-Markov process which is currently being investigated in the United Kingdom with a view to its practical implementation. The formulae derived for the moments of the profit are integral equations whose numerical solution results in a set of recursive formulae. The methods used to derive these formulae are also used to derive formulae for the aggregate amount of time spent sick; a problem discussed by Seal (1970). Numerical examples relating to both these problems are given. © 1990.

Original languageEnglish
Pages (from-to)101-113
Number of pages13
JournalInsurance: Mathematics and Economics
Volume9
Issue number2-3
Publication statusPublished - Sep 1990

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Sickness insurance
Profit
Recursive calculation
Recursive formula
Continuous time
Integral equations
Semi-Markov process
Present value
Seal
Numerical solution
Mathematical model

Keywords

  • Invalidity model
  • Present value of profit
  • Sickness insurance

Cite this

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The recursive calculation of the moments of the profit on a sickness insurance policy. / Waters, Howard.

In: Insurance: Mathematics and Economics, Vol. 9, No. 2-3, 09.1990, p. 101-113.

Research output: Contribution to journalArticle

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