Non-Homogenous Semi-Markov Reward Process for the Management of Health Insurance Models

How it is simple and natural to apply NHSMRP to actuarial science is showed in the paper. Two models useful to solve Permanent Health Insurance (PHI) problems are proposed. The second one is a generalization of the first and permit to take in account not only the insured age, as is usually done in the literature, but also to follow the time evolution. The reward structure permits to consider simultaneously the financial development and the illness evolution of the health insurance contract. This gives the possibility to control the dynamic financial equilibrium.

Keywords: Stochastic processes, health insurance, semi-Markov reward processes, permanent health insurance