The use of phase-type models for disability insurance calculations

DOI10.1080/03461238.2012.761645zbMath1401.91209OpenAlexW2118452603MaRDI QIDQ4576876

Amin Hassan Zadeh, David A. Stanford, Bruce L. Jones

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2012.761645

zbMATH Keywords

phase-type distributiondisability insurancecontinuous-time Markov chainactuarial present valueaggregate Markov chain

Mathematics Subject Classification ID

Related Items (8)

Conditional multivariate distributions of phase-type for a finite mixture of Markov jump processes given observations of sample path ⋮ Bivariate Sarmanov phase-type distributions for joint lifetimes modeling ⋮ Forecasting disability: application of a frailty model ⋮ Bayesian and Bühlmann credibility for phase-type distributions with a univariate risk parameter ⋮ A factorization of a Lévy process over a phase-type horizon ⋮ Mortality modeling and regression with matrix distributions ⋮ A fractional multi-states model for insurance ⋮ Mortality Modeling of Skin Cancer Patients with Actuarial Applications

Uses Software

• EMpht

Cites Work

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• A Continuous Time Markov Model for the Length of Stay of Elderly People in Institutional Long-Term Care
• On aggregated Markov processes
• On non-uniqueness of representations of phase-type distributions
• Markov Aging Process and Phase-Type Law of Mortality

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