Related papers: Transaction time models in multi-state life insura…

Disability insurance claims are often affected by lengthy reporting delays and adjudication processes. The classic multistate life insurance modeling framework is ill-suited to handle such information delays since the cash flow and…

In 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…

A widely-used model for determining the long-term health impacts of public health interventions, often called a "multistate lifetable", requires estimates of incidence, case fatality, and sometimes also remission rates, for multiple…

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…

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…

Multimorbidity in older adults is common, heterogeneous, and highly dynamic, and it is strongly associated with disability and increased healthcare utilization. However, existing approaches to studying multimorbidity trajectories are…

Accurate forecasting of an insurer's outstanding liabilities is vital for the solvency of insurance companies and the financial stability of the insurance sector. For health and disability insurance, the liabilities are intimately linked…

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…

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…

Multistate models offer a powerful framework for studying disease processes and can be used to formulate intensity-based and more descriptive marginal regression models. They also represent a natural foundation for the construction of joint…

A multi--state life insurance model is naturally described in terms of the intensity matrix of an underlying (time--inhomogeneous) Markov process which describes the dynamics for the states of an insured person. Between and at transitions,…

Multi-state models are frequently applied for representing processes evolving through a discrete set of state. Important classes of multi-state models arise when transitions between states may depend on the time since entry into the current…

In modern life insurance, Markov processes in continuous time on a finite or at least countable state space have been over the years an important tool for the modelling of the states of an insured. Motivated by applications in disability…

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…

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…

Survival competing risks models are very useful for studying the incidence of diseases whose occurrence competes with other possible diseases or health conditions. These models perform properly when working with terminal events, such as…

Not all contracts are good, but all good contracts can be expressed as a finite-state transition system ("State-Transition Contracts"). Contracts that can be represented as State-Transition Contracts discretize fat-tailed risk to…

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…

Stock price change in financial market occurs through transactions in analogy with diffusion in stochastic physical systems. The analysis of price changes in real markets shows that long-range correlations of price fluctuations largely…

We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced by concepts in statistical mechanics. Using the proposed…