Integral and differential equations for the moments of multistate models in health insurance

Franck Adékambi, Marcus C. Christiansen

Research output: Contribution to journalArticle

3 Citations (Scopus)
106 Downloads (Pure)

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 languageEnglish
JournalScandinavian Actuarial Journal
Early online date31 Jul 2015
DOIs
Publication statusPublished - 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

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