Measuring Long-Term Insurance Contracts with Biometric Risks

Long Term Care insurance contracts are complex insurance products covering an individual for which pricing and reserving issues are traditionally addressed by the introduction of multi-state models. This type of model allows one to describe the transitions of each insured through different states that correspond to events determining, under the terms of the contract, the respective commitments of the parties. The description of insurance contracts through multi-state models is the subject of several studies in the actuarial literature (cf. [21, 31] or [14]). To implement this approach to pricing or reserving, actuaries need to establish suitable statistical bases