A Multi-state Model of Functional Disability and Health Status in the Presence of Systematic Trend and Uncertainty

DOI10.1080/10920277.2019.1708755zbMath1461.91260OpenAlexW3008357484MaRDI QIDQ4987085

Michael Sherris, Pengyu Wei

Publication date: 28 April 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2019.1708755

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (3)

Optimal Portfolio Choice with Health-Contingent Income Products: The Value of Life Care Annuities ⋮ Joint life care annuities to help retired couples to finance the cost of long-term care ⋮ MODERN LIFE-CARE TONTINES

Cites Work

• Fast Filtering and Smoothing for Multivariate State Space Models
• Modeling and Forecasting U.S. Mortality
• The multi-state latent factor intensity model for credit rating transitions
• Monte Carlo maximum likelihood estimation for non-Gaussian state space models
• Product pricing and solvency capital requirements for long-term care insurance
• Modeling Disability in Long-Term Care Insurance
• Multistate Actuarial Models of Functional Disability
• The Impact of Systematic Trend and Uncertainty on Mortality and Disability in a Multistate Latent Factor Model for Transition Rates

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