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

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      <subfield code="a">Christiansen, Marcus C.</subfield>
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      <subfield code="a">On the calculation of prospective and retrospective reserves in non-Markov models</subfield>
      <subfield code="c">Marcus C. Christiansen</subfield>
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      <subfield code="a">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</subfield>
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      <subfield code="a">La copia digital se distribuye bajo licencia "Attribution 4.0 International (CC BY 4.0)"</subfield>
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      <subfield code="a">Reservas técnicas</subfield>
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      <subfield code="a">Modelo de Markov</subfield>
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      <subfield code="a">Semi-Markov models</subfield>
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      <subfield code="g">06/12/2021 Número 2 - diciembre 2021 , p. 441-462</subfield>
      <subfield code="t">European Actuarial Journal</subfield>
      <subfield code="d">Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</subfield>
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