O. L. Sandqvist | Searcharxiv

arXiv2026

Loss of earning capacity in Denmark -- an actuarial perspective

We describe challenges and opportunities related to risk assessment and mitigation for loss of earning capacity insurance with a special focus on Denmark. The presence of public benefits, claim settlement processes, and prevention initiatives introduces significant intricacy to the risk landscape. Accommodating this requires the development of innovative approaches from researchers and practitioners alike. Actuaries are uniquely positioned to lead the way, leveraging their domain knowledge and mathematical-statistical expertise to develop equitable, data-driven solutions that mitigate risk and enhance societal well-being.

q-fin.RM↗

arXiv2025

Estimation for multistate models subject to reporting delays and incomplete event adjudication with application to disability insurance

Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked with the biometric event history of the insured. Complete observation of event histories is often impossible due to sampling effects such as right-censoring and left-truncation, but also due to reporting delays and incomplete event adjudication. In this paper, we develop a parametric two-step M-estimation method that takes the aforementioned effects into account, treating the latter two as partially exogenous. The approach is valid under weak assumptions and allows for complicated dependencies between the event history, reporting delays, and adjudication while remaining relatively simple to implement. The estimation approach has desirable properties which are demonstrated by theoretical results and numerical experiments. In the application, we introduce and consider a large portfolio of disability insurance policies. We find that properly accounting for the sampling effects has a large impact on the number of disabilities and reactivations that an insurer would forecast, allowing for a more accurate assessment of the insurer's liabilities and improved risk management.

math.ST↗