2630 actuarial statistics module 6 parametric models

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Unformatted text preview: only the year of death and not allow for the time of death Markov model allows for the time of death (preferred, if complete life histories are available) Poisson model is an approximation to the Markov model c where Ex is considered to be fixed over the year When sufficient data are available (ie full information about the total waiting time), the two-state Markov model is preferred because using the binomial model will not make the fullest use of the information. 26/30 Actuarial Statistics – Module 6: Parametric models: Binomial and Poisson models Discussion: Binomial, Poisson and Markov multi-state models Estimating parameters if exact dates of birth, entry, exit and death are known, then the MLE of the Markov model is easily calculated the binomial model is complicated and need further simplifying assumptions (eg, Balducci assumption) when µ is very small, the actuarial estimates provides acceptable results when µ is small, the differences between the two-state Markov models and Poisson models are tiny In practice, there i...
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This document was uploaded on 04/03/2014.

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