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MOMENTS OF PHASE-TYPE AGING MODELING FOR HEALTH DEPENDENT COSTS

Franck Adékambi
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Franck Adékambi: School of Economics, University of Johannesburg, South Africa

Advances in Decision Sciences, 2019, vol. 23, issue 2, 37-64

Abstract: In this paper, we use a discrete time Phase-type process to model the health care cost of an insurance contract by considering all possible critical health states of an individual with constant interest rate. From the moment generating function of the NPV, we derive a recursive formula of this Markov Reward Model (MRM).

Keywords: Health dependent costs; Net present value; Phase-type aging process; Markov reward model; Recursive moments (search for similar items in EconPapers)
JEL-codes: C65 I13 (search for similar items in EconPapers)
Date: 2019
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