A waiting time approach for a disability model

The aim of this dissertation is to provide a waiting time focused method for calculating transition probabilities of a disability model. The challenge that the traditional approach, i.e, differential-difference approach faces is its computational difficulty. The waiting time approach described in the dissertation transforms the event that describes an insured state at time t given its initial state into an equivalent event that considerably eases the calculation burden.The dissertation is composed of five chapters: (1) Introduction, referring to the model, and the history of the investigation about the model, and a sketch of the contents from chapter 2 to 5; (2) Literature Review, reviewing the academic background for the investigation of compartment models and the waiting time approach; (3) Waiting time approach for disability models, deriving the transition probabilities with the waiting time approach for a disability model and their sensitivities to the parameters; (4) Application to insurance functions, investigating the sensitivities of some insurance functions of interest to the parameters; (5) Future work, discussing possible theoretical simulation work based on the results of chapter 3 and 4.