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Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance

Abstract : This article presents a non-parametric markov multi-state approach adapted to censored data to construct inception rates with competing risks. This situation arises for LTC insurance when multiple pathologies are likely to cause disability. Instead of using classical techniques applied by practitioners based on latent failure times, our approach allows to estimate globally all inception rates and taking account adequately of dependence between the latent times. This article compares the results obtain on reserves with the both approaches in order to justify if the latent failure times approach is relevant.
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https://hal.archives-ouvertes.fr/hal-01169225
Contributor : Quentin Guibert <>
Submitted on : Tuesday, July 21, 2015 - 12:25:52 AM
Last modification on : Tuesday, December 10, 2019 - 1:50:02 PM
Long-term archiving on: : Thursday, October 22, 2015 - 10:22:22 AM

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  • HAL Id : hal-01169225, version 1

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Quentin Guibert, Frédéric Planchet. Construction de lois d'expérience en présence d'évènements concurrents : Application à l'estimation des lois d'incidence d'un contrat dépendance. Bulletin Français d'Actuariat, Institut des Actuaires, 2014, 14 (27), pp.5-28. ⟨hal-01169225⟩

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