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 |
|---|---|
| Journal | Scandinavian Actuarial Journal |
| Early online date | 31 Jul 2015 |
| DOIs | |
| Publication status | Published - 2015 |
Keywords
- conditional moments
- multistate life insurance
- numerical solution
- semi-Markov model
- Thiele’s equation
ASJC Scopus subject areas
- Economics and Econometrics
- Statistics, Probability and Uncertainty
- Statistics and Probability