Modeling the effect of health: phase-type approach

DOI10.1007/S13385-014-0092-1MaRDI QIDQ487622zbMATHOpenAlexFDO

Authors Maria Govorun, Guy Latouche

Publication date 22 January 2015

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

Full work available at URL https://doi.org/10.1007/s13385-014-0092-1

zbMATH Keywords

longevity riskpension fundsfinancial impact of healthphase-type aging modelpopulation selection

Mathematics Subject Classification ID

Mathematical geography and demography (91D20)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1183924 (Why is no real title available?)
• scientific article; zbMATH DE number 2087798 (Why is no real title available?)
• A generalization of Panjer's recursion and numerically stable risk aggregation
• A subordinated Markov model for stochastic mortality
• Estimating International Adverse Selection in Annuities
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• The determinants of mortality heterogeneity and implications for pricing annuities

Cited in

(6)

• Exploring the health state of a population by dynamic modeling methods
• Application of the phase-type mortality law to life contingencies and risk management
• Phase-type aging modeling for health dependent costs
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• überproportionale PrÄmiensteigerungen in der privaten Krankenversicherung
• Physiological age, health costs, and their interrelation

Describes a project that uses

Uses Software

• PhFit
• EMpht

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