Disability Insurance with Information Delays

Disability insurance claims are often affected by lengthy reporting delays and adjudication processes. Current multistate models are ill-suited to handle such information delays since the cash flow and available information can no longer be based on the multistate process generating the contractual payments. We propose a new individual reserving model for disability insurance schemes that describes the claim evolution in real-time, and we illustrate the practical relevance of our concepts and results via a real data application.