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دسته بندی:
مدیریت بیمه - Insurance Management
سال انتشار:
2018
عنوان انگلیسی مقاله:
Non-parametric inference of transition probabilities based on Aalen–Johansen integral estimators for acyclic multi-state models: application to LTC insurance
ترجمه فارسی عنوان مقاله:
استنباط غیر پارامتری احتمالات عبور برمبنای تخمین گرهای انتگرال آلن - ژوهانسن برای مدلهای چند وضعیتی غیر چرخه ای: کاربرد برای بیمه LTC
منبع:
Insurance: Mathematics and Economics Volume 82, September 2018, Pages 21-36
نویسنده:
Quentin Guibert, Frédéric Planchet
چکیده انگلیسی:
Studying Long Term Care (LTC) insurance requires modeling the lifetime of individuals in presence of both terminal and non-terminal events which are concurrent. Although a non-homogeneous semi-Markov multi-state model is probably the best candidate for this purpose, most of the current researches assume, maybe abusively, that the Markov assumption is satisfied when fitting the model. In this context, using the Aalen–Johansen estimators for transition probabilities can induce bias, which can be important when the Markov assumption is strongly unstated. Based on some recent studies developing non-Markov estimators in the illness–death model that we can easily extend to a more general acyclic multi-state model, we exhibit three non-parametric estimators of transition probabilities of paying cash-flows, which are of interest when pricing or reserving LTC guarantees in discrete time. As our method directly estimates these quantities instead of transition intensities, it is possible to derive asymptotic results for these probabilities under non-dependent random right-censorship, obtained by re-setting the system with two competing risk blocks. Inclusion of left-truncation is also considered. We conduct simulations to compare the performance of our transition probabilities estimators without the Markov assumption. Finally, we propose a numerical application with LTC insurance data, which is traditionally analyzed with a semi-Markov model.
keywords: Multi-state model |Aalen–Johansen integral |Non-parametric estimator |Non-Markov process |LTC insurance
قیمت: رایگان
توضیحات اضافی: نظر
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