On the calculation of prospective and retrospective reserves in non-Markov models
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Publication:2066779
DOI10.1007/s13385-021-00277-yzbMath1482.91180OpenAlexW3175024178MaRDI QIDQ2066779
Publication date: 14 January 2022
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-021-00277-y
semi-Markov modelKolmogorov forward equationlandmark Aalen-johansen estimatorlandmark Aalen-Nelson estimatorlife and health insurance
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Cites Work
- Forward mortality and other vital rates - are they the way forward?
- Fréchet differentiability, \(p\)-variation and uniform Donsker classes
- Validity of the Aalen-Johansen estimators of stage occupation probabilities and Nelson-Aalen estimators of integrated transition hazards for non-Markov models
- Non-parametric inference of transition probabilities based on Aalen-Johansen integral estimators for acyclic multi-state models: application to LTC insurance
- Forward transition rates
- State occupation probabilities in non-Markov models
- A survey of product-integration with a view toward application in survival analysis
- Dynamics of state-wise prospective reserves in the presence of non-monotone information
- Kolmogorov’s forward PIDE and forward transition rates in life insurance
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