Intensity-based premium evaluation for unemployment insurance products

Biagini, Francesca ; Groll, Andreas und Widenmann, Jan (2013): Intensity-based premium evaluation for unemployment insurance products. In: Insurance: Mathematics and Economics, Bd. 53, Nr. 1: S. 302-316

Abstract

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.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Mathematik > Finanz- und Versicherungsmathematik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 01676687
• Sprache: Englisch