Abstract
The moments of the random future liabilities of health insurance policies are key quantities for studying distributional properties of the future liabilities. Assuming that the randomness of the future health status of individual policyholders can be described by a semi-Markovian multistate model, integral and differential equations are derived for moments of any order and for the moment generating function. Different representations are derived and discussed with a view to numerical solution methods.
| Original language | English |
|---|---|
| Pages (from-to) | 29-50 |
| Number of pages | 22 |
| Journal | Scandinavian Actuarial Journal |
| Volume | 2017 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2 Jan 2017 |
Keywords
- Thiele’s equation
- conditional moments
- multistate life insurance
- numerical solution
- semi-Markov model
ASJC Scopus subject areas
- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty
