D'Amico, GuglielmoGuillén, MontserratManca, RaimondoPetroni, Filippo2018-03-132018-03-1320172351-6054https://hdl.handle.net/2445/120660In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many important aspects that influence the valuation of the option such as the duration problem, the time non-homogeneity and the ageing effect. The value of the conversion option is evaluated after the formal description of this contract.13 p.application/pdfengcc-by (c) D'Amico, Guglielmo et al., 2017http://creativecommons.org/licenses/by/3.0/esRisc (Assegurances)Assegurances de malaltiaProcessos de MarkovRisk (Insurance)Health insuranceMarkov processesinfo:eu-repo/semantics/article6769562018-03-13info:eu-repo/semantics/openAccess