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 language | English |
|---|---|
| Pages (from-to) | 101-113 |
| Number of pages | 13 |
| Journal | Insurance: Mathematics and Economics |
| Volume | 9 |
| Issue number | 2-3 |
| Publication status | Published - Sept 1990 |
Keywords
- Invalidity model
- Present value of profit
- Sickness insurance