Multivariate higher order moments in multi-state life insurance
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Publication:5865320
DOI10.1080/03461238.2021.1989025zbMATH Open1492.91267arXiv2102.11714OpenAlexW3210037619MaRDI QIDQ5865320FDOQ5865320
Authors: Jamaal Ahmad 
Publication date: 13 June 2022
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/2102.11714
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conditional momentsproduct integraldependent riskmulti-state life insurancemultivariate payment process
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Cited In (8)
- Integral and differential equations for the moments of multistate models in health insurance
- Explicit moments for a class of micro-models in non-life insurance
- Multi-state models for evaluating conversion options in life insurance
- Matrix representations of life insurance payments
- Aggregate Markov models in life insurance: properties and valuation
- Heterogeneity and uncertainty in a multistate framework
- On the forward rate concept in multi-state life insurance
- An approach to the study of multistate insurance contracts
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