Markov Chain Models in Life Insurance

DOI10.1007/BF02810082zbMATH Open0191.51103MaRDI QIDQ5585960FDOQ5585960

Jan M. Hoem

Publication date: 1969

Published in: Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

operations research

Cites Work

• Die Erwartungswerte allgemeiner Versicherungsleistungen in der Mathematik der Lebensversicherung
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Cited In (47)

• On the application of Thiele's differential equation in life insurance
• Aspects of prospective mean values in risk theory
• Experience rating in the classic Markov chain life insurance setting
• Markov models and Thiele's integral equations for the prospective reserve
• A health insurance pricing model based on prevalence rates: application to critical illness insurance
• Transaction time models in multi-state life insurance
• The emergence of profit in life insurance
• Optimal investment-disinvestment choices in health-dependent variable annuity
• Integral and differential equations for the moments of multistate models in health insurance
• Scaled insurance cash flows: representation and computation via change of measure techniques
• An algorithmic approach to discrete time non-homogeneous backward semi-Markov reward processes with an application to disability insurance
• Doubly Enhanced Annuities (DEANs) and the Impact of Quality of Long-Term Care under a Multi-State Model of Activities of Daily Living (ADL)
• Product pricing and solvency capital requirements for long-term care insurance
• Two-dimensional forward and backward transition rates
• Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory
• Scenario-based life insurance prognoses in a multi-state Markov model
• The joint impact of fertility and unemployment on the level of state-aided pensions
• Tax- and expense-modified risk-minimization for insurance payment processes
• Matrix representations of life insurance payments
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• Aggregate Markov models in life insurance: properties and valuation
• Heterogeneity and uncertainty in a multistate framework
• A generic model for spouse's pensions with a view towards the calculation of liabilities
• Estimating absorption time distributions of general Markov jump processes
• On technical bases and surplus in life insurance
• Phase-type representations of stochastic interest rates with applications to life insurance
• Prospective and retrospective premium reserves
• Household consumption, investment and life insurance
• Differential equations for moments of present values in life insurance
• The policyholder's static and dynamic decision making of life insurance and pension payments
• A no arbitrage approach to Thiele's differential equation
• Perturbation analysis of continuous‐time absorbing Markov chains
• Actuarial models for pricing disability benefits: Towards a unifying approach
• Forward transition rates
• Intervention options in life insurance
• Jan M. Hoem, 1939–2017
• Biometric worst-case scenarios for multi-state life insurance policies
• Fractional inhomogeneous multi-state models in life insurance
• Dynamics of state-wise prospective reserves in the presence of non-monotone information
• Probabilistic fertility models of the life table type
• Health insurance, portfolio choice, and retirement incentives
• A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
• A sensitivity analysis of typical life insurance contracts with respect to the technical basis
• Multivariate higher order moments in multi-state life insurance
• Pooling functional disability and mortality in long-term care insurance and care annuities: a matrix approach for multi-state pools
• Multistate models in health insurance
• Stochastic models for life contingencies

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