An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance

DOI10.1007/s11009-006-9012-4zbMath1146.60320MaRDI QIDQ2475270

Raimondo Manca, Dmitrii S. Silvestrov, Fredrik Stenberg

Publication date: 11 March 2008

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-006-9012-4

zbMATH Keywords

variance; kurtosis; discrete time; skewness; semi-Markov process; reward process; higher moments; actuarial

Mathematics Subject Classification ID

60K15: Markov renewal processes, semi-Markov processes

60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.)

Related Items

Computational Algorithms for Moments of Accumulated Markov and Semi-Markov Rewards, A customer's utility measure based on the reliability of multi-state systems, Full backward non-homogeneous semi-Markov processes for disability insurance models: a Catalunya real data application, Moments' analysis in homogeneous Markov reward models, On the moments and the distribution of the cost of a semi Markov model for healthcare systems, Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process, An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance, A semi-Markov modulated interest rate model, Some Results on Modeling Biological Sequences and Web Navigation with a Semi Markov Chain, Semi-Markov Disability Insurance Models, A NON-HOMOGENEOUS SEMI-MARKOV REWARD MODEL FOR THE CREDIT SPREAD COMPUTATION

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Finite non-homogeneous semi-Markov processes: Theoretical and computational aspects
• Actuarial equivalence
• An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance
• Numerical Treatment of Homogeneous and Non-homogeneous Semi-Markov Reliability Models
• An algorithmic approach to non-homogeneous semi-markov processes
• Numerical evaluation of Markov transition probabilities based on the discretized product integral
• The dynamics of pension funds in a stochastic environment
• A realistic non-homogeneous stochastic pension fund model on scenario basis
• Salary cost evaluation by means of non-homogeneous semi-Markov processes
• Markov Chain Models in Life Insurance
• Markov renewal theory
• Applied Semi-Markov Processes