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

On the calculation of prospective and retrospective reserves in non-Markov models
Recurso electrónico / Electronic resource
Registro MARC
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1001 ‎$0‎MAPA20130002446‎$a‎Christiansen, Marcus C.
24510‎$a‎On the calculation of prospective and retrospective reserves in non-Markov models‎$c‎Marcus C. Christiansen
520  ‎$a‎Almost all life and health insurance models in the actuarial literature use either a Markov assumption or a semi-Markov assumption. This paper shows that non-Markov modelling is also feasible and presents suitable numerical and statistical tools for the calculation of prospective and retrospective reserves. A central idea is to base the calculation of reserves on forward and backward transition rates. Feasible estimators for the forward transition rates have been recently suggested in the medical statistics literature. This paper slightly extends them according to insurance needs and newly introduces symmetric estimators for backward transition rates. Only few adjustments are actually needed in the classical insurance formulas when switching from Markov modelling to as-if-Markov evaluations in order to avoid model risk
540  ‎$a‎La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"‎$u‎https://creativecommons.org/licenses/by/4.0‎$9‎43
650 4‎$0‎MAPA20080582340‎$a‎Reservas técnicas
650 4‎$0‎MAPA20080576783‎$a‎Modelo de Markov
650 4‎$0‎MAPA20160001785‎$a‎Semi-Markov models
650 4‎$0‎MAPA20080579258‎$a‎Cálculo actuarial
7730 ‎$w‎MAP20220007085‎$g‎06/12/2021 Volúmen 11 - Número 2 - diciembre 2021 , p. 441-462‎$t‎European Actuarial Journal‎$d‎Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022
856  ‎$q‎application/pdf‎$w‎1114470‎$y‎Recurso electrónico / Electronic resource