 Extension of as-if-Markov modeling to scaled paymentsMarcus C. Christiansen and Christian Furrer Insurance: Mathematics and Economics, 2022, vol. 107, issue C, 288-306 Abstract: In multi-state life insurance, as-if-Markov modeling has recently been suggested as an alternative to Markov modeling in case of deterministic sojourn and transition payments. Incidental policyholder behavior, on the other hand, gives rise to duration-dependent payments in the form of so-called scaled payments. The goal of this paper is to establish as-if-Markov modeling also for scaled payments. To this end, we employ change of measure techniques to transfer the added complexity from the payments to an auxiliary probabilistic model. Based hereon, we show how to compute the accumulated cash flow by solving a system of equations comparable to Kolmogorov's forward equations for Markov chains, but with the transition rates replaced by certain forward transition rates related to the auxiliary probabilistic model. Finally, we provide feasible landmark estimators for these auxiliary forward transition rates subject to entirely random right-censoring. Keywords: Life insurance; Non-Markov models; Kolmogorov's forward equations; Incidental policyholder behavior; Landmark estimators (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:107:y:2022:i:c:p:288-306 DOI: 10.1016/j.insmatheco.2022.09.001 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
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