scientific article; zbMATH DE number 845458

MaRDI QIDQ4865508zbMATH OpenFDO

Authors Mark H. A. Davis, M. H. Vellekoop

Publication date 22 August 1996

zbMATH Keywords

algorithmspiecewise-deterministic Markov processesiterative solution of systems of first-order partial differential equationspayout process

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical aspects of the method of characteristics for initial value and initial-boundary value problems involving PDEs (65M25)

Recommendations

• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• Approximation methods for piecewise deterministic Markov processes and their costs
• Piecewise deterministic Markov processes and their application to risk theory
• scientific article; zbMATH DE number 2101202
• A time‐continuous markov chain interest model with applications to insurance

Cited in

(11)

• Modelling the recent time trends in UK permanent health insurance recovery, mortality and claim inception transition intensities
• Transition Intensities for a model for Permanent Health Insurance
• On piecewise deterministic Markov control processes: Control of jumps and of risk processes in insurance
• Kolmogorov's forward PIDE and forward transition rates in life insurance
• Approximation methods for piecewise deterministic Markov processes and their costs
• An algorithm evaluating generalized life insurance programs
• Optimization of hybrid stochastic differential systems in communications networks
• Integral and differential equations for the moments of multistate models in health insurance
• Intertemporal persistence in healthcare spending and utilization: the role of insurance
• Modeling the effect of health: phase-type approach
• An Equilibrium Model of Health Insurance Provision and Wage Determination

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4865508)