Cordeiro (2002a) has presented a multiple state model for Income Protection (formerly known as Permanent Health Insurance) which enables us to analyse claims by cause of disability. In that paper average claim durations conditioned on recovery have been calculated.

Since, when an Income Protection claim is reported, the insurance company never knows whether it will end in recovery, in death or in expiry, to analyse only average claim durations conditioned on recovery could be misleading, specially for the people responsible for the claims control process.

The main purpose of this paper is to calculate average claim durations conditioned on death and average claim durations not conditioned on any particular mode of claim termination. We calculate these claim durations for different deferred periods, causes of disability and ages at the beginning of sickness and we analyse the results obtained.

The purpose of this paper is to obtain approximations to the transition intensities defined for a multiple state model for Permanent Health Insurance (PHI) which enables us to analyse PHI claims by cause of disability.

The approximations to the transition intensities are obtained using a set of PHI data classified by 18 sickness categories and the graduations of the transition intensities defined for a simpler model proposed in Continuous Mortality Investigation Reports, 12 (1991).

In order to derive the approximations to the recovery and mortality of the sick intensities for our model, we carry out tests of hypotheses based on the distributions of average sickness durations. The approximations to the sickness intensities are obtained by estimating a statistical model for the number of claim inceptions, which can be formulated as a generalized linear model.

We investigate the influence of initial selection (the impact of underwriting during the early years of a policy's life) on individual Permanent Health Insurance claim inceptions. In Gutiérrez-Delgado (1999) a decreasing trend was found. In this paper we include the effect of cause of disability and fit a generalized linear model in order to gain a greater understanding of the phenomenon. Both effects, policy duration and cause of disability, are found to have a significant effect on the number of claims. We describe their influence using factors that collect the information available through the fitted model. Results from both factors suggest that the grouping of diseases selected for the research helps to explain partially our earlier results. In addition there is some evidence of moral hazard in mental disorders and musculoskeletal diseases which also contributes to the understanding of the negative trend found.

The aim of this work is to present a method to compute the expected amount of annual claims in the health insurance. (A more detailed analysis of the method can be found in Kovářová (1998).) We will be especially concerned with the permanent health insurance and compare our numerical results with those computed and published for the permanent health insurance in C.M.I.R. (1991). At the same time we will give a general methodology applicable not only to the permanent health insurance but for other types of health insurance as well.

The methods used today can be divided into three groups: the method of the decrement tables, the Manchester Unity method and the multiple state model. We would like to describe a simple method to compute from the data of the multiple state model the bases for the Manchester United and for the decrement tables methods.