Department of Computer Science¹
Collegio Villoresi
Monza e Brianza

Actuarial Science²
Illinois State University
Normal, Illinois

Regime Switching Process in a Multiple Decrements Model

We study the effect of a regime switching process in a multiple decrements model where there are two causes of death:
Cause A: whose force of mortality changes according to a regime-switching process with two states: mild and severe. A force of mortality in the mild state will always be lower than the force of mortality in the severe state.
Cause B: whose force of mortality is not related to a regime-switching process.

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