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| Autores principales: | , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Materias: | |
| Acceso en línea: | https://arxiv.org/abs/2512.13562 |
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| _version_ | 1866910233611206656 |
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| author | Furrer, Christian Hornung, Philipp C. |
| author_facet | Furrer, Christian Hornung, Philipp C. |
| contents | 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 group experience rating. The inclusion of collective health claims leads to a computationally challenging many-body problem. By adopting a mean-field approach, this many-body problem can be approximated by a non-linear one-body problem, which in turn leads to a transparent pricing method for disability coverages based on a lower-dimensional system of non-linear forward integro-differential equations. In a practice-oriented simulation study, the mean-field approximation clearly stands its ground in comparison to naïve Monte Carlo methods. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_13562 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Disability insurance with collective health claims: A mean-field approach Furrer, Christian Hornung, Philipp C. Risk Management Probability 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 group experience rating. The inclusion of collective health claims leads to a computationally challenging many-body problem. By adopting a mean-field approach, this many-body problem can be approximated by a non-linear one-body problem, which in turn leads to a transparent pricing method for disability coverages based on a lower-dimensional system of non-linear forward integro-differential equations. In a practice-oriented simulation study, the mean-field approximation clearly stands its ground in comparison to naïve Monte Carlo methods. |
| title | Disability insurance with collective health claims: A mean-field approach |
| topic | Risk Management Probability |
| url | https://arxiv.org/abs/2512.13562 |