Extension of as-if-Markov modeling to scaled payments

DOI10.1016/J.INSMATHECO.2022.09.001MaRDI QIDQ2682991zbMATH OpenOpenAlexFDO

Authors Marcus C. Christiansen, Christian Furrer

Publication date 1 February 2023

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.insmatheco.2022.09.001

zbMATH Keywords

incidental policyholder behaviorKolmogorov's forward equationslandmark estimatorslife insurancenon-Markov models

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in survival analysis and censored data (62N02) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

• A hybrid landmark Aalen-Johansen estimator for transition probabilities in partially non-Markov multi-state models
• A survey of product-integration with a view toward application in survival analysis
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• Concrete functional calculus
• Dynamics of state-wise prospective reserves in the presence of non-monotone information
• Experience rating in the classic Markov chain life insurance setting
• Forward mortality and other vital rates - are they the way forward?
• Forward transition rates
• Foundations of modern probability. In 2 volumes
• Markov chain modeling of policyholder behavior in life insurance and pension
• Non-parametric inference of transition probabilities based on Aalen-Johansen integral estimators for acyclic multi-state models: application to LTC insurance
• Nonlinear reserving and multiple contract modifications in life insurance
• On the calculation of prospective and retrospective reserves in non-Markov models
• Reserves and cash flows under stochastic retirement
• Scaled insurance cash flows: representation and computation via change of measure techniques
• State occupation probabilities in non-Markov models
• Validity of the Aalen-Johansen estimators of stage occupation probabilities and Nelson-Aalen estimators of integrated transition hazards for non-Markov models

Cited in

(5)

• Scaled insurance cash flows: representation and computation via change of measure techniques
• Two-dimensional forward and backward transition rates
• Non-parametric estimators of scaled cash flows
• As-if-Markov reserves for reserve-dependent payments
• On the estimation of bivariate conditional transition rates

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