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An algorithm evaluating generalized life insurance programs. (English) Zbl 0999.91049

Summary: We study Generalized Life Insurance (GLI) models in continuous time. These models are presented as non-homogeneous semi-Markov processes and studied directly as such. We give analgorithm, based on recursive integral scheme, finding the expected present value of premium payments and of benefits outgo, thus enabling us to find the annual premium.
An algorithm based on this method is applied numerically using real data set to calculate the above quantities for a GLI contract.

MSC:

91B30 Risk theory, insurance (MSC2010)
60K15 Markov renewal processes, semi-Markov processes
60J27 Continuous-time Markov processes on discrete state spaces
60J99 Markov processes
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