Year: 2026
Type: article
Abstract: Disability insurance claims are often affected by lengthy reporting delays and adjudication processes. The classic multistate life insurance modeling framework is ill-suited to handle such information delays since the cash flow and available information can no longer be based on the biometric multistate process determining the contractual payments. We propose a new individual reserving model for disability insurance schemes which describes the claim evolution in real-time. Under suitable independence assumptions between the available information and the underlying biometric multistate process, we show that these new reserves may be calculated as natural modifications of the classic reserves. For estimation of the model constituents, we employ the procedure proposed in [Buchardt, K., Furrer, C., & Sandqvist, O. L. (2025). Estimation for multistate models subject to reporting delays and incomplete event adjudication. The Annals of Applied Statistics, 19(4), 2782–2802. https://doi.org/10.1214/25-AOAS2068]. A real data application illustrates how the proposed estimation and reserving methods can be implemented and compares the resulting reserves with simpler reserving approaches.
Source: Scandinavian Actuarial Journal
Author: Oliver Lunding Sandqvist
Institution: University of Copenhagen
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
Funder: Innovationsfonden
Award: G4954923358
OpenAlex ID: W4390214329