Modeling multistate health transitions with a most-recent-event Hawkes process

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<dc:creator>Jung, Jiwon </dc:creator>
<dc:creator>Lee, Kiseop</dc:creator>
<dc:creator>Xu, Mengyi</dc:creator>
<dc:date>2026-03-16</dc:date>
<dc:description xml:lang="es">Sumario: The paper develops a multistate health transition model based on a most-recent-event Hawkes process to capture the effect of past disability and duration dependence on future health transitions. Unlike traditional Markov or Hawkes models, the proposed approach focuses on the most recent transition, preserving semi-Markov tractability while incorporating self-exciting effects. The model is estimated using a Monte Carlo EM algorithm to address incomplete prestudy information. Results show significant impacts of disability history on transition intensities, improved goodness of fit, and important implications for life expectancy estimation and insurance pricing, particularly for long-term care insurance and life annuities</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/190504.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Discapacidad</dc:subject>
<dc:subject xml:lang="es">Modelos Semi-Markov</dc:subject>
<dc:subject xml:lang="es">Esperanza de vida</dc:subject>
<dc:subject xml:lang="es">Longevidad</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Modeling multistate health transitions with a most-recent-event Hawkes process</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 16/03/2026 Tomo 30 Número 1 - 2026 , 23 p.</dc:relation>
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