Hainaut, Donatien
[UCL]
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.
Bibliographic reference |
Hainaut, Donatien. A fractional multi-states model for insurance. LIDAM Discussion Paper ISBA ; 2021/19 (2021) 25 pages |
Permanent URL |
http://hdl.handle.net/2078.1/245421 |