Economics - Research Publications

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Start date: 2001 × Subject: Earned premium × Subject: loss reserve ×

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    Modelling mortgage insurance as a multi-state process
    Taylor, Greg ; Mulquiney, Peter ( 2006-02)
    Mortgage insurance claims are considered in Section 2 as an absorbing state in aMarkov chain that involves transitions between the states Healthy, In arrears,Property in Possession, Property sold, Loan discharged, Claim. Section 3considers the representation of this process by a cascade of five frequencyGLMs, and a further GLM for claim size. These models are applied to theforecast of technical liabilities in Section 4, and the estimation of the associatedforecast error in Section 5.