Pooling functional disability and mortality in long-term care insurance and care annuities: a matrix approach for multi-state pools

DOI10.1016/J.INSMATHECO.2024.02.006MaRDI QIDQ6543155zbMATH OpenFDO

Authors Doreen Kabuche, Michael Sherris, Andrés M. Villegas, Jonathan Ziveyi

Publication date 24 May 2024

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INSMATHECO.2024.02.006

zbMATH Keywords

functional disabilityhealth statuslong-term care insurancemulti-state modelspooled annuity

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• Managing longevity and disability risks in life annuities with long term care
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Cites work

• A multi-state model of functional disability and health status in the presence of systematic trend and uncertainty
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• Care-dependent tontines
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• Exchanging uncertain mortality for a cost
• Health insurance. Basic actuarial models
• scientific article; zbMATH DE number 1226426 (Why is no real title available?)
• scientific article; zbMATH DE number 1323217 (Why is no real title available?)
• Markov Chain Models in Life Insurance
• Modern life-care tontines
• Optimal consumption and portfolio choice for pooled annuity funds
• Optimal retirement products under subjective mortality beliefs
• Product pricing and solvency capital requirements for long-term care insurance
• Reserve-dependent benefits and costs in life and health insurance contracts
• TARGET VOLATILITY STRATEGIES FOR GROUP SELF-ANNUITY PORTFOLIOS
• The impact of systematic trend and uncertainty on mortality and disability in a multistate latent factor model for transition rates
• The multi-state latent factor intensity model for credit rating transitions

Cited in

(1)

• A Markov ageing-based multi-state group self-annuitisation

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