An extended disability model with causual explanation of disability

Specialeforsvar ved:  Camilla Myrdal Engmark

Titel: An Extended disability model with causual explanation of disability 

Resume: In this thesis we consider the possibilities of including a distinction between different kinds of disability in a life insurance setup. We consider two models: A model consisting of a Markov process with several disability states and a model consisting of an aggregation of the Markov process, which turns out to be a semi-Markov process. The last model stressing the applicability of the semi-Markov model. The expected present values of future benefits and the uncertainty associated with the present values are compared in the two models. This is done theoretical, at first, but also by two examples, which stresses the theoretical differences between the two models. We see that the uncertainty in the semi-Markov model is larger than the uncertainty in the Markov model, but the difference is very small for certain construction of the transition intensities concerning the disability states in the Markov model. Also, the number of disability states in the Markov  model plays a role when choosing a model. 

Vejledere:   Mogens Steffensen, Kristian Buchardt
Censor:       Mikkel Jarbøl, Skandia