Dynamics of state-wise prospective reserves in the presence of non-monotone information

Christiansen, Marcus C.; Furrer, Christian

doi:10.1016/j.insmatheco.2021.01.005

Insurance: Mathematics and Economics

2021

DOI: 10.1016/j.insmatheco.2021.01.005

|View full text |Cite

Dynamics of state-wise prospective reserves in the presence of non-monotone information

Marcus C. Christiansen

Christian Furrer

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2021

2023

Publication Types

Select...

Article3

Relationship

Self Cite0

Independent3

Authors

Journals

Cited by 3 publications

References 25 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

On the calculation of prospective and retrospective reserves in non-Markov models

Christiansen

2021

Eur. Actuar. J.

View full text Add to dashboard Cite

Almost all life and health insurance models in the actuarial literature use either a Markov assumption or a semi-Markov assumption. This paper shows that non-Markov modelling is also feasible and presents suitable numerical and statistical tools for the calculation of prospective and retrospective reserves. A central idea is to base the calculation of reserves on forward and backward transition rates. Feasible estimators for the forward transition rates have been recently suggested in the medical statistics literature. This paper slightly extends them according to insurance needs and newly introduces symmetric estimators for backward transition rates. Only few adjustments are actually needed in the classical insurance formulas when switching from Markov modelling to as-if-Markov evaluations in order to avoid model risk.

show abstract

On the calculation of prospective and retrospective reserves in non-Markov models

Christiansen

2021

Eur. Actuar. J.

View full text Add to dashboard Cite

show abstract

Extension of as-if-Markov modeling to scaled payments

Christiansen

Furrer²

2022

Insurance: Mathematics and Economics

View full text Add to dashboard Cite

Transaction time models in multi-state life insurance

Buchardt¹,

Furrer

Sandqvist

2023

Scandinavian Actuarial Journal

View full text Add to dashboard Cite

scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.

Contact Info

customersupport@researchsolutions.com

10624 S. Eastern Ave., Ste. A-614

Henderson, NV 89052, USA

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.

Blog Terms and Conditions API Terms Privacy Policy Contact Cookie Preferences Do Not Sell or Share My Personal Information

Made with 💙 for researchers

Part of the Research Solutions Family.

Dynamics of state-wise prospective reserves in the presence of non-monotone information

Cited by 3 publications

References 25 publications

On the calculation of prospective and retrospective reserves in non-Markov models

On the calculation of prospective and retrospective reserves in non-Markov models

Extension of as-if-Markov modeling to scaled payments

Transaction time models in multi-state life insurance

Contact Info

Product

Resources

About