کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5076875 | 1374105 | 2013 | 15 صفحه PDF | دانلود رایگان |
- We provide a flexible intensity-based evaluation method for insurance premiums.
- We connect F-doubly stochastic Markov chains to estimators of general Cox models.
- We give intensity estimates based on a German labor market data set.
- We compute unemployment insurance premiums via Monte Carlo simulations.
We present a flexible premium determination method for insurance products, in particular, for unemployment insurance products. The price is determined with the real-world pricing formula and under the assumption that the employment-unemployment progress of an insured person follows an F-doubly stochastic Markov chain. The stochastic intensity processes are estimated for the German labor market, using Cox's proportional hazards model with time-dependent covariates on a sample of integrated labor market biographies. The estimation procedure is based on a counting process framework with stochastic compensators, which we show to be naturally connected to the class of F-doubly stochastic Markov chains. Based on the statistical analysis, the prices are computed using Monte Carlo simulations.
Journal: Insurance: Mathematics and Economics - Volume 53, Issue 1, July 2013, Pages 302-316