The use of phase-type models for disability insurance calculations

DOI10.1080/03461238.2012.761645MaRDI QIDQ4576876zbMATH OpenOpenAlexFDO

Authors Amin Hassan Zadeh, Bruce L. Jones, David A. Stanford

Publication date 11 July 2018

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

Full work available at URL https://doi.org/10.1080/03461238.2012.761645

zbMATH Keywords

continuous-time Markov chainphase-type distributiondisability insuranceactuarial present valueaggregate Markov chain

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 1183924 (Why is no real title available?)
• scientific article; zbMATH DE number 1323217 (Why is no real title available?)
• A Continuous Time Markov Model for the Length of Stay of Elderly People in Institutional Long-Term Care
• Markov aging process and phase-type law of mortality
• On aggregated Markov processes
• On non-uniqueness of representations of phase-type distributions

Cited in

(14)

• Forecasting disability: application of a frailty model
• Examining the identifiability and estimability of the phase-type ageing model
• Application of simultaneous equation models to temporary disability prescriptions in primary healthcare centres
• Mortality Modeling of Skin Cancer Patients with Actuarial Applications
• scientific article; zbMATH DE number 1996535 (Why is no real title available?)
• Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter
• Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path
• A fractional multi-states model for insurance
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Mortality modeling and regression with matrix distributions
• Modeling the effect of health: phase-type approach
• Actuarial models for pricing disability benefits: Towards a unifying approach
• Stochastic modelling of disability insurance in a multi-period framework
• A factorization of a Lévy process over a phase-type horizon

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