Disability insurance with collective health claims: A mean-field approach
Abstract
The classic semi-Markov disability model is expanded with individual and collective health claims to improve its explanatory and predictive power -- in particular in the context of group experience rating. The inclusion of collective health claims leads to a computationally challenging many-body problem. By adopting a mean-field approach, this many-body problem can be approximated by a non-linear one-body problem, which in turn leads to a transparent pricing method for disability coverages based on a lower-dimensional system of non-linear forward integro-differential equations. In a practice-oriented simulation study, the mean-field approximation clearly stands its ground in comparison to naïve Monte Carlo methods.
Fields of Study & Subjects
Insurance
Mortality
Demography
Risk Management
Global Health Care Issues
Retirement
Disability
and Employment
Publication details
- Journal / source
- Insurance Mathematics and Economics
- Publisher
- Elsevier BV
- Volume
- 129
- Pages
- 103266–103266
- Publication date
- 16 May 2026
- Language
- EN