MODELLING OF PROBABILISTIC STRUCTURE OF MULTISTATE INSURANCE CONTRACTS (Modelowanie probabilistycznej struktury ubezpieczen wielostanowych)

Multistate insurance is a contract that covers different life accidents. This type of insurances consists of the core insurance contract (usually it is a life insurance) and a package of additional contracts (so called options for example health or disabled insurances). The aim of this paper is to model the probabilistic structure of multistate model. Under the assumption that the stochastic process that describes the evolution of the insurance contract is a non-homogeneous Markov chain, we show how to model the probabilistic structure of multistate model by multiple increment-decrement tables. The obtained results are applied to the analysis of the life insurance with illness and disabled options.