Orateur : Franck Adekambi
Établissement : School of Economics, University of Johannesburg (South Africa)
Dates : 2025-12-04 – 2025-12-04
Heures : 14:00 – 15:00
Lieu : Salle 0-3
Résumé :
Titre de la conférence : Integral equations for moments of multistate models in health insuranceThe moments of the random future liabilities of health insurance policies are key quantities for studying distributional properties of the future liabilities. Assuming that the randomness of the future health status of individual policyholders can be described by a semi-Markovian multistate model, integral and differential equations are derived for moments of any order and for the moment generating function. Different representations are derived and discussed with a view to numerical solution methods.
Keywords: multistate life insurance; semi-Markov model; conditional moments; Thiele’s equation; numerical solution