Multivariate higher order moments in multi-state life insurance
From MaRDI portal
Publication:5865320
Abstract: It is well-known that combining life annuities and death benefits introduce opposite effects in payments with respect to the mortality risk on the lifetime of the insured. In a general multi-state framework with multiple product types, such joint effects are less trivial. In this paper, we consider a multivariate payment process in multi-state life insurance, where the components are defined in terms of the same Markovian state process. The multivariate present value of future payments is introduced, and we derive differential equations and product integral representations of its conditional moments and moment generating function. Special attention is given to pair-wise covariances between two present values, where results closely connected to Hattendorff type of results for the variance are derived. The results are illustrated in a numerical example in a disability model.
Recommendations
- Matrix representations of life insurance payments
- An approach to the study of multistate insurance contracts
- On probability distributions of present values in life insurance
- Integral and differential equations for the moments of multistate models in health insurance
- Probability distributions of multi-states insurance models under semi-Markov assumptions
Cites work
- scientific article; zbMATH DE number 4042996 (Why is no real title available?)
- A survey of product-integration with a view toward application in survival analysis
- A theory of bonus life insurance
- A time‐continuous markov chain interest model with applications to insurance
- Actuarial values of payment streams
- Differential equations for moments of present values in life insurance
- Hattendorff's Theorem: A Markov chain and counting process approach
- Hattendorff's theorem and Thiele's differential equation generalized
- Integral and differential equations for the moments of multistate models in health insurance
- Markov Chain Models in Life Insurance
- Markov models and Thiele's integral equations for the prospective reserve
- Matrix representations of life insurance payments
- Natural hedging in long-term care insurance
- Natural hedging of life and annuity mortality risks
- Numerical approximation of product integrals
- On probability distributions of present values in life insurance
- Probability distributions of multi-states insurance models under semi-Markov assumptions
- Prospective and retrospective premium reserves
- Reserves in Life and Pension Insurance
- Risk and insurance. A graduate text
- Safety margins for unsystematic biometric risk in life and health insurance
Cited in
(8)- On the forward rate concept in multi-state life insurance
- Heterogeneity and uncertainty in a multistate framework
- Matrix representations of life insurance payments
- An approach to the study of multistate insurance contracts
- Integral and differential equations for the moments of multistate models in health insurance
- Multi-state models for evaluating conversion options in life insurance
- Explicit moments for a class of micro-models in non-life insurance
- Aggregate Markov models in life insurance: properties and valuation
This page was built for publication: Multivariate higher order moments in multi-state life insurance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5865320)
