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

Franck Adékambi and Marcus C. Christiansen

Scandinavian Actuarial Journal, 2017, vol. 2017, issue 1, 29-50

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.

Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/03461238.2015.1058854 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:sactxx:v:2017:y:2017:i:1:p:29-50

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/sact20

DOI: 10.1080/03461238.2015.1058854

Access Statistics for this article

Scandinavian Actuarial Journal is currently edited by Boualem Djehiche

More articles in Scandinavian Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().