Backward reserve path for a disability model with recovery

Computes a backward Euler reserve path from terminal healthy-state and disabled-state reserves.

Usage

thiele_path_01(
  h,
  n,
  delta,
  Pbar,
  B,
  R,
  mu01,
  mu02,
  mu10,
  mu12,
  V0_n = 0,
  V1_n = 0
)

Arguments

h

Positive step size.

n

Nonnegative final time.

delta

Force of interest.

Pbar

Continuous premium rate.

B

Death benefit.

R

Continuous disability income rate.

mu01

Healthy-to-disabled intensity function.

mu02

Healthy-to-deceased intensity function.

mu10

Disabled-to-healthy intensity function.

mu12

Disabled-to-deceased intensity function.

V0_n

Terminal healthy-state reserve.

V1_n

Terminal disabled-state reserve.

Value

A data frame with columns t, tV0, and tV1.