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Lecture%2010%20Annotated - Life Insurance and...

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Life Insurance and Superannuation Models Week 10: Multiple State Transition Models May 9, 2011 1 / 20
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Week 10: Multiple State Transition Models Summary of Lecture Multiple state models What are they? Generalization of multiple decrement models. Markov chains Transition probabilities Homogeneous and non-homogeneous Markov Chains Cash flows and their Actuarial Present Values No single source of reference used References CT5 Chapters 12 ACTL3002: Week 10 2
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Introduction Multiple state models are probability models that describe the random movements of: A subject (often a person, but could be a machinery, organism, etc.) Among various states Discrete time and discrete state space Examples include: Basic survival model Multiple decrement models Health-sickness model Disability model Pension models Multiple life models Long term care models ACTL3002: Week 10 3
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Basic Survival Model Dead (D ) Active (A ) ACTL3002: Week 10 4
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Withdrawal-Death Model Alive (a) Withdrawal or Surrender (w) Dead (d) ACTL3002: Week 10 5
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Accidental/Non-accidental Death Model Alive (A ) Death from Acc idental Causes (AD ) Death from O ther Causes (ND ) ACTL3002: Week 10 6
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Multiple Decrement Model Decrement 1 Alive (A ) Decrement 2 Decrement k ACTL3002: Week 10 7
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Health-Sickness Model Ill/ Sick/ Disabled (S ) Dead (D ) Health (H ) ACTL3002: Week 10 8
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A Joint Life Model x alive y dead (2) x dead y alive (3) x alive y alive (1) x dead y dead (4) ACTL3002: Week 10 9
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A Disability Model disabled (2) w ithdrawn (3) active (1) dead (4) ACTL3002: Week 10 10
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A Disability Model disabled (2) w ithdrawn (3) active (1) dead (4) ACTL3002: Week 10 10
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  • One '09
  • Nicole
  • Probability theory, Markov chain, Andrey Markov, Markov chain Monte Carlo, Markov decision process, transition probabilities

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