Intensity-based premium evaluation for unemployment insurance products

@inproceedings{Biagini2013IntensitybasedPE,
  title={Intensity-based premium evaluation for unemployment insurance products},
  author={Francesca Biagini and Andreas H. Groll and Jan Widenmann},
  year={2013}
}
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… CONTINUE READING