Lecture 10 Annot - Life Insurance and Superannuation Models Week 10 Multiple State Transition Models May 9 2011 1 20 Week 10 Multiple State

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Unformatted text preview: Life Insurance and Superannuation Models Week 10: Multiple State Transition Models May 9, 2011 1 / 20 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 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 Basic Survival Model Dead (D ) A c tive (A ) ACTL3002: Week 10 4 Withdrawal-Death Model Alive (a ) Withdrawal or Surrender (w ) Dead (d) ACTL3002: Week 10 5 Accidental/Non-accidental Death Model Alive (A ) Death from Acc idental Causes (AD ) Death from O ther Causes (ND ) ACTL3002: Week 10 6 Multiple Decrement Model Decrement 1 Alive (A ) Decrement 2 Decrement k ACTL3002: Week 10 7 Health-Sickness Model Ill/ Sick/ Disabled (S ) Dead (D ) Health (H ) ACTL3002: Week 10 8 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 A Disability Model disabled (2 ) w ithdrawn (3 ) active (1 ) dead (4 ) ACTL3002: Week 10 10 A Disability Model disabled (2 ) w ithdrawn (3 ) active (1 ) dead (4 ) ACTL3002: Week 10 10 A Long-Term Care Model Independent Living Unit ( I) Dead (D ) Health (H ) Skilled Nursing Facility (S ) ACTL3002: Week 10 11 A Pension Model...
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This note was uploaded on 06/12/2011 for the course ASB 1001,2522, taught by Professor Nicole during the One '09 term at University of New South Wales.

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Lecture 10 Annot - Life Insurance and Superannuation Models Week 10 Multiple State Transition Models May 9 2011 1 20 Week 10 Multiple State

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