Related papers: Multi-state models for evaluating conversion optio…
In this paper we consider pricing of insurance contracts for breast cancer risk based on three multiple state models. Using population data in England and data from the medical literature, we calibrate a collection of semi-Markov and Markov…
In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Due to delays between the occurrence, reporting, and settlement of changes to the biometric state, the state process is…
In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…
It is well-known that combining life annuities and death benefits introduce opposite effects in payments with respect to the mortality risk on the lifetime of the insured. In a general multi-state framework with multiple product types, such…
Markov cohort state-transition models have been the standard approach for simulating the prognosis of patients or, more generally, the life trajectories of individuals over a time period. Current approaches for estimating the variance of a…
In this paper, we consider statistical estimation of time-inhomogeneous aggregate Markov models. Unaggregated models, which corresponds to Markov chains, are commonly used in multi-state life insurance to model the biometric states of an…
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…
Semi-Markov models are widely used for survival analysis and reliability analysis. In general, there are two competing parameterizations and each entails its own interpretation and inference properties. On the one hand, a semi-Markov…
We derive a general multiple state model for critical illness insurances. In contrast to the classical model, we take into account that the probability of death for a dread disease sufferer may depend on the duration of the disease, and the…
Multi-state survival analysis considers several potential events of interest along a disease pathway. Such analyses are crucial to model complex patient trajectories and are increasingly being used in epidemiological and health economic…
In this study, we consider sequences drawn from time-homogeneous Markov chains and introduce a novel approach for estimating first hitting-time distributions to specified terminal states. Our method- ology is based on the…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model. Studies of Markov-modulated regime…
We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite…
As cancer patient survival improves, late effects from treatment are becoming the next clinical challenge. Chemotherapy and radiotherapy, for example, potentially increase the risk of both morbidity and mortality from second malignancies…
We consider exchangeable Markov multi-state survival processes -- temporal processes taking values over a state-space$\mathcal{S}$ with at least one absorbing failure state $\flat \in \mathcal{S}$ that satisfy natural invariance properties…
In this paper we propose a semi-Markov modulated model of interest rates. We assume that the switching process is a semi-Markov process with finite state space E and the modulated process is a diffusive process. We derive recursive…
Many insurance products and pension plans provide benefits which are related to couples, and thus under influence of the survival status of two lives. Some studies show the future lifetime of couples is correlated. Three reasons are…
The purpose of the present paper is to incorporate stochastic interest rates into a matrix-approach to multi-state life insurance, where formulas for reserves, moments of future payments and equivalence premiums can be obtained as explicit…
Transition probability estimation plays a critical role in multi-state modeling, especially in clinical research. This paper investigates the application of semi-Markov and Markov renewal frameworks to the EBMT dataset, focusing on six…