Extension of as-if-Markov modeling to scaled payments

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt


  • Fulltext

    Forlagets udgivne version, 518 KB, PDF-dokument

In multi-state life insurance, as-if-Markov modeling has recently been suggested as an alternative to Markov modeling in case of deterministic sojourn and transition payments. Incidental policyholder behavior, on the other hand, gives rise to duration-dependent payments in the form of so-called scaled payments. The goal of this paper is to establish as-if-Markov modeling also for scaled payments. To this end, we employ change of measure techniques to transfer the added complexity from the payments to an auxiliary probabilistic model. Based hereon, we show how to compute the accumulated cash flow by solving a system of equations comparable to Kolmogorov's forward equations for Markov chains, but with the transition rates replaced by certain forward transition rates related to the auxiliary probabilistic model. Finally, we provide feasible landmark estimators for these auxiliary forward transition rates subject to entirely random right-censoring.

TidsskriftInsurance: Mathematics and Economics
Sider (fra-til)288-306
StatusUdgivet - 2022

Bibliografisk note

Funding Information:
We thank Martin Bladt for helpful comments that led to a simplification of the proof of Theorem 2. Christian Furrer has carried out this research in association with the project frame InterAct.

Publisher Copyright:
© 2022 The Author(s)

Antal downloads er baseret på statistik fra Google Scholar og www.ku.dk

Ingen data tilgængelig

ID: 322798927