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Moments Of Phase-Type Aging Modeling For Health Dependent Costs

Author

Listed:
  • Franck Adékambi

    (School of Economics, University of Johannesburg, South Africa)

Abstract

In this paper, we use a discrete time Phase-type process to model the health care cost of an insurance contract by considering all possible critical health states of an individual with constant interest rate. From the moment generating function of the NPV, we derive a recursive formula of this Markov Reward Model (MRM).

Suggested Citation

  • Franck Adékambi, 2019. "Moments Of Phase-Type Aging Modeling For Health Dependent Costs," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 37-64, June.
    • Handle: RePEc:aag:wpaper:v:23:y:2019:i:2:p:37-64
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    References listed on IDEAS

    as
    1. Zhao, Xiaobing & Zhou, Xian, 2012. "Estimation of medical costs by copula models with dynamic change of health status," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 480-491.
    2. Su, Shu & Sherris, Michael, 2012. "Heterogeneity of Australian population mortality and implications for a viable life annuity market," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 322-332.
    3. X. Lin & Xiaoming Liu, 2007. "Markov Aging Process and Phase-Type Law of Mortality," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(4), pages 92-109.
    4. Eisele, Karl-Theodor, 2006. "Recursions for compound phase distributions," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 149-156, February.
    5. Panjer, Harry H., 1981. "Recursive Evaluation of a Family of Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 12(1), pages 22-26, June.
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    Keywords

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    JEL classification:

    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools
    • I13 - Health, Education, and Welfare - - Health - - - Health Insurance, Public and Private

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