Transaction time models in multi-state life insurance

In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of insured. Due to delays between occurrence, reporting, settlement changes state, process is not fully observable in real-time. This fact implies that classic multi-state models for insured able describe development policy real-time, which encompasses handling incurred-but-not-reported reported-but-not-settled claims. We give a fundamental treatment problem setting continuous-time by introducing new class models: transaction time models. The relation model studied result linking present values two derived. results their practical implications illustrated disability coverages, where we obtain explicit expressions reserve specific