Non-parametric inference of transition probabilities based on Aalen-Johansen integral estimators for acyclic multi-state models: application to LTC insurance

DOI10.1016/j.insmatheco.2018.05.004zbMath1416.91181OpenAlexW2602803856WikidataQ129626609 ScholiaQ129626609MaRDI QIDQ1799628

Frédéric Planchet, Quentin Guibert

Publication date: 19 October 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.05.004

zbMATH Keywords

multi-state modelnon-Markov processnon-parametric estimatorAalen-Johansen integralLTC insurance

Mathematics Subject Classification ID

Related Items (3)

Extension of as-if-Markov modeling to scaled payments ⋮ On the characteristics of reporting ADL limitations and formal LTC usage across Europe ⋮ On the calculation of prospective and retrospective reserves in non-Markov models

Uses Software

• R
• mstate
• p3state.msm
• SemiMarkov

Cites Work

• Unnamed Item
• Unnamed Item
• Managing longevity and disability risks in life annuities with long term care
• A competing risks approach for nonparametric estimation of transition probabilities in a non-Markov illness-death model
• Bootstrap methods: another look at the jackknife
• Multi-state models: A review
• Application of survival analysis methods to long-term care insurance.
• Multistate models in health insurance
• Long-term care models and dependence probability tables by acuity level: new empirical evidence from Switzerland
• Multidimensional smoothing by adaptive local kernel-weighted log-likelihood: application to long-term care insurance
• Transition probability estimates for non-Markov multi-state models
• Weak Convergence of the Wild Bootstrap for the Aalen-Johansen Estimator of the Cumulative Incidence Function of a Competing Risk
• Competing Risks and Multistate Models with R
• Semi-Markov Risk Models for Finance, Insurance and Reliability
• Nonparametric estimation of transition probabilities in the non‐Markov illness‐death model: A comparative study
• The Jackknife estimate of covariance of two Kaplan–Meier integrals with covariables
• Nonparametric Association Analysis of Bivariate Competing-Risks Data
• Censored Data and the Bootstrap
• Inference for Events With Dependent Risks in Multiple Endpoint Studies
• Generalised linear models for correlated pseudo-observations, with applications to multi-state models
• Smoothing and forecasting mortality rates
• ASYMPTOTIC PROPERTIES OF AALEN-JOHANSEN INTEGRALS FOR COMPETING RISKS DATA
• Modeling Disability in Long-Term Care Insurance
• Multistate Actuarial Models of Functional Disability
• Multi-state models for event history analysis
• Uniform Representation of Product‐Limit Integrals with Applications
• Calculation of LTC Premiums Based on Direct Estimates of Transition Probabilities
• Nonparametric estimation with left-truncated semicompeting risks data
• Statistical models based on counting processes
• Nonparametric estimation of transition probabilities in a non-Markov illness-death model

This page was built for publication: Non-parametric inference of transition probabilities based on Aalen-Johansen integral estimators for acyclic multi-state models: application to LTC insurance