arXiv q-fin· Oliver Lunding Sandqvist·· 5 hr agoAI Score36
A Multi-State Approach to Disability Insurance Reserve Calculation Accounting for Information Delays
A multistate approach to disability insurance reserving with information delays
AI summary
Addressing reporting delays and adjudication processes in disability insurance claims, this study proposes a new individual reserve model that can describe claim evolution in real time. Under the assumption of independence between the information process and the underlying biometric multi-state process, the model can be computed through a natural correction of classical reserves. Model parameters are estimated using the method proposed by Buchardt et al. in 2025, and the model has been validated on real data and compared with traditional reserving methods.
Source:arXiv q-fin · arxiv.org