Oliver Sandqvist: A multistate approach to disability insurance reserving and estimation with information delays

Abstract

In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Current multistate models therefore center their modeling on the biometric state process, presuming it to be observable in real-time. This is however not the case for, e.g., disability insurance schemes, where there are often delays between the occurrence, reporting, and settlement of changes to the biometric state.

In this talk, I will give an introduction to the multistate modeling approach to reserving and estimation for life insurance and propose new methods that can accommodate information delays in the form of reporting delays and incomplete event adjudication while preserving the advantages offered by multistate models. The methods are illustrated using simulation studies and applications to insurance data. Special attention is given to disability insurance schemes.