A multiple state model for the analysis of permanent health insurance claims by cause of disability

In this paper, we present a multiple state model for permanent health insurance (PHI) which enables us to analyse PHI claims by cause of disability. This new model, which is a generalisation of the model proposed in Continuous Mortality Investigation Reports [The analysis of permanent health insurance data, Continuous Mortality Investigation Report No. 12, The Institute of Actuaries and the Faculty of Actuaries, 1991] is very useful in the underwriting and claims control stages of PHI business. last sections of the paper, we use the model mentioned above to calculate the average duration of a claim and claim inception rates by cause of disability. For that purpose, we use the approximations to the transition intensities obtained by Cordeiro [A stochastic model for the analysis of permanent health insurance claims by cause of disability, Ph.D. Thesis, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, UK, 1998] and numerical algorithms which make possible an efficient evaluation of basic probabilities. We also make general comments on the results obtained.