A long-term care multi-state Markov model revisited: a Markov chain Monte Carlo approach

DOI10.1007/S13385-021-00285-YMaRDI QIDQ2157223zbMATH OpenOpenAlexFDO

Authors Anselm Fleischmann, Jonas Hirz, Daniel Sirianni

Publication date 27 July 2022

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-021-00285-y

zbMATH Keywords

MCMCMarkov modellong-term carecompression of morbidity

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• scientific article; zbMATH DE number 3118839 (Why is no real title available?)
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• A new look at the statistical model identification
• Calibrating intensities for long-term care multiple-state Markov insurance model
• Compression of morbidity and mortality: new perspectives
• Continuous-time semi-Markov inference of biometric laws associated with a long-term care insurance portfolio
• Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms
• Equation of state calculations by fast computing machines
• Estimating the dimension of a model
• Forecasting disability: application of a frailty model
• General Irreducible Markov Chains and Non-Negative Operators
• Long-term care models and dependence probability tables by acuity level: new empirical evidence from Switzerland
• Monte Carlo sampling methods using Markov chains and their applications
• Optimal proposal distributions and adaptive MCMC
• Simple conditions for the convergence of the Gibbs sampler and Metropolis-Hastings algorithms
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Stochastic models in life insurance.
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(5)

• On the use of multi-state multi-census techniques for modelling the survival of elderly people in institutional long-term care
• Continuous-time Markov models for geriatric patient behaviour
• A multi-state model for sick leave and its impact on partial early retirement incentives: the case of the Netherlands
• Calibrating intensities for long-term care multiple-state Markov insurance model
• Calculation of LTC Premiums Based on Direct Estimates of Transition Probabilities

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