Mary Hardy has done research in regime switching in insurance. developed and estimated a regime switching stock return model for use in actuarial and insurance applications. Her reports which are one of the most important bases, along with Geoffrey Hancock's work, of recent actuarial regulatory studies in Canada and the U.S. are available through her web page.
http://www.stats.uwaterloo.ca/Stats_Dept/homepages/MRH/MRH.html