We present a methodology that allows for the ability to calculate the impact of a given Long-Term Care (LTC) insurance protection system on the risk of incurring extremely large individual lifetime costs. Our proposed methodology is illustrated with a case study. According to our risk measure,...

This article focuses on business risk management in the insurance industry. A methodology for estimating the profit loss caused by each customer in the portfolio due to policy cancellation is proposed. Using data from a European insurance company, customer behaviour over time is analyzed in...

In this paper, we present a stochastic model for disability insurance contracts. The model is based on a discrete time non-homogeneous semi-Markov process (DTNHSMP) to which the backward recurrence time process is introduced. This permits a more exhaustive study of disability evolution and a...