Abstract
In this paper semi-Markov reward models are presented. Higher moments of the reward process is presented for the first time applied to in time non-homogeneous semi-Markov insurance problems. Also an example is presented based on real disability data. Different algorithmic approaches to solve the problem is described.
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This work is partly supported by the Knowledge Foundation and Sparbankens Stiftelse Nya. The authors would like to thank the anonymous referee.
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Stenberg, F., Manca, R. & Silvestrov, D. An Algorithmic Approach to Discrete Time Non-homogeneous Backward Semi-Markov Reward Processes with an Application to Disability Insurance. Methodol Comput Appl Probab 9, 497–519 (2007). https://doi.org/10.1007/s11009-006-9012-4
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DOI: https://doi.org/10.1007/s11009-006-9012-4