Aggregate Markov models in life insurance: estimation via the EM algorithm

IF 1.6 3区经济学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS

Scandinavian Actuarial Journal Pub Date : 2023-12-14 DOI:10.1080/03461238.2023.2277786

Jamaal Ahmad, Mogens Bladt

引用次数: 0

Abstract

In this paper, we consider statistical estimation of time–inhomogeneous aggregate Markov models. Unaggregated models, which corresponds to Markov chains, are commonly used in multi–state life insur...

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人寿保险中的马尔可夫总量模型：通过 EM 算法进行估计

在本文中，我们考虑了时间同构总体马尔可夫模型的统计估计。与马尔可夫链相对应的非聚合模型常用于多状态人寿保险中。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Scandinavian Actuarial Journal MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

3.30

自引率

11.10%

发文量

审稿时长

>12 weeks

期刊介绍： Scandinavian Actuarial Journal is a journal for actuarial sciences that deals, in theory and application, with mathematical methods for insurance and related matters. The bounds of actuarial mathematics are determined by the area of application rather than by uniformity of methods and techniques. Therefore, a paper of interest to Scandinavian Actuarial Journal may have its theoretical basis in probability theory, statistics, operations research, numerical analysis, computer science, demography, mathematical economics, or any other area of applied mathematics; the main criterion is that the paper should be of specific relevance to actuarial applications.