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Multistate models in health insurance

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  • Marcus Christiansen

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  • Marcus Christiansen, 2012. "Multistate models in health insurance," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 155-186, June.
    • Handle: RePEc:spr:alstar:v:96:y:2012:i:2:p:155-186
    DOI: 10.1007/s10182-012-0189-2
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    1. Janssen, J. & de Dominicis, R., 1984. "Finite non-homogeneous semi-Markov processes: Theoretical and computational aspects," Insurance: Mathematics and Economics, Elsevier, vol. 3(3), pages 157-165, July.
    2. Christiansen, Marcus C., 2010. "Biometric worst-case scenarios for multi-state life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 190-197, October.
    3. Renshaw, A. E. & Haberman, S., 2000. "Modelling the recent time trends in UK permanent health insurance recovery, mortality and claim inception transition intensities," Insurance: Mathematics and Economics, Elsevier, vol. 27(3), pages 365-396, December.
    4. Pitacco, Ermanno, 1995. "Actuarial models for pricing disability benefits: Towards a unifying approach," Insurance: Mathematics and Economics, Elsevier, vol. 16(1), pages 39-62, April.
    5. Andrew J. G. Cairns & David Blake & Kevin Dowd, 2006. "A Two‐Factor Model for Stochastic Mortality with Parameter Uncertainty: Theory and Calibration," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 73(4), pages 687-718, December.
    6. Bauer Daniel & Börger Matthias & Ruß Jochen & Zwiesler Hans-Joachim, 2008. "The Volatility of Mortality," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 3(1), pages 1-29, September.
    7. Gregorius, F. K., 1993. "Disability insurance in The Netherlands," Insurance: Mathematics and Economics, Elsevier, vol. 13(2), pages 101-116, November.
    8. Christiansen, Marcus C. & Denuit, Michel M. & Lazar, Dorina, 2012. "The Solvency II square-root formula for systematic biometric risk," Insurance: Mathematics and Economics, Elsevier, vol. 50(2), pages 257-265.
    9. Hyndman, Rob J. & Shahid Ullah, Md., 2007. "Robust forecasting of mortality and fertility rates: A functional data approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 4942-4956, June.
    10. Annamaria Olivieri & Ermanno Pitacco, 2012. "Life tables in actuarial models: from the deterministic setting to a Bayesian approach," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 127-153, June.
    11. Christiansen, Marcus C. & Denuit, Michel & Lazar, Dorina, 2012. "The Solvency II square-root formula for systematic biometric risk," LIDAM Reprints ISBA 2012002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Milbrodt, Hartmut & Stracke, Andrea, 1997. "Markov models and Thiele's integral equations for the prospective reserve," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 187-235, May.
    13. Milevsky, Moshe A. & David Promislow, S., 2001. "Mortality derivatives and the option to annuitise," Insurance: Mathematics and Economics, Elsevier, vol. 29(3), pages 299-318, December.
    14. Pitacco, Ermanno & Denuit, Michel & Haberman, Steven & Olivieri, Annamaria, 2009. "Modelling Longevity Dynamics for Pensions and Annuity Business," OUP Catalogue, Oxford University Press, number 9780199547272.
    15. Segerer, Gunther, 1993. "The actuarial treatment of the disability risk in Germany, Austria and Switzerland," Insurance: Mathematics and Economics, Elsevier, vol. 13(2), pages 131-140, November.
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    Cited by:

    1. Ahmad, Jamaal & Bladt, Mogens & Furrer, Christian, 2023. "Aggregate Markov models in life insurance: Properties and valuation," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 50-69.
    2. Fuino, Michel & Wagner, Joël, 2018. "Long-term care models and dependence probability tables by acuity level: New empirical evidence from Switzerland," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 51-70.
    3. Christiansen, Marcus C. & Djehiche, Boualem, 2020. "Nonlinear reserving and multiple contract modifications in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 187-195.
    4. Nadine Gatzert & Alexander Maegebier, 2015. "Critical Illness Insurances: Challenges and Opportunities for Insurers," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 18(2), pages 255-272, September.
    5. Andrey Borisov & Alexey Bosov & Gregory Miller & Igor Sokolov, 2021. "Partial Diffusion Markov Model of Heterogeneous TCP Link: Optimization with Incomplete Information," Mathematics, MDPI, vol. 9(14), pages 1-31, July.
    6. Maegebier, Alexander, 2013. "Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 802-811.
    7. Guibert, Quentin & Planchet, Frédéric, 2018. "Non-parametric inference of transition probabilities based on Aalen–Johansen integral estimators for acyclic multi-state models: application to LTC insurance," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 21-36.
    8. Kristian Buchardt & Christian Furrer & Oliver Lunding Sandqvist, 2022. "Transaction time models in multi-state life insurance," Papers 2209.06902, arXiv.org, revised Feb 2023.
    9. Andreas Niemeyer, 2015. "Safety Margins for Systematic Biometric and Financial Risk in a Semi-Markov Life Insurance Framework," Risks, MDPI, vol. 3(1), pages 1-26, January.
    10. Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.
    11. Benjiang Ma & Qing Tang & Yifang Qin & Muhammad Farhan Bashir, 2021. "Policyholder cluster divergence based differential premium in diabetes insurance," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 42(7), pages 1793-1807, October.
    12. Baione, Fabio & Levantesi, Susanna, 2014. "A health insurance pricing model based on prevalence rates: Application to critical illness insurance," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 174-184.
    13. Sokol, Alexander, 2015. "A generic model for spouse’s pensions with a view towards the calculation of liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 198-207.
    14. Manuel L. Esquível & Gracinda R. Guerreiro & Matilde C. Oliveira & Pedro Corte Real, 2021. "Calibration of Transition Intensities for a Multistate Model: Application to Long-Term Care," Risks, MDPI, vol. 9(2), pages 1-17, February.
    15. Qiqi Wang & Katja Hanewald & Xiaojun Wang, 2022. "Multistate health transition modeling using neural networks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(2), pages 475-504, June.
    16. Oliver Lunding Sandqvist, 2023. "A multistate approach to disability insurance reserving with information delays," Papers 2312.14324, arXiv.org.

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