Markov chain modeling of policyholder behavior in life insurance and pension

AbstractThis paper discusses distribution of surplus in life insurance within a general Markov chain framework. A conservative interest rate and a conservative set of transition intensities are used for reserving purposes whereas more realistic assumptions are used for the purpose of distributing surplus. The paper examines various actuarial aspects of distributing surplus through either cash bonuses, terminal bonuses or increased benefits. The results are illustrated by some examples.

Download Full-text

Markov Chain Modeling for Anomaly Detection in High Performance Computing System Logs

Proceedings of the Fourth International Workshop on HPC User Support Tools - HUST'17 ◽

10.1145/3152493.3152559 ◽

2017 ◽

Cited By ~ 3

Author(s):

Abida Haque ◽

Alexandra DeLucia ◽

Elisabeth Baseman

Keyword(s):

Markov Chain ◽

Anomaly Detection ◽

High Performance Computing ◽

High Performance ◽

Computing System ◽

High Performance Computing System ◽

System Logs ◽

Markov Chain Modeling ◽

Performance Computing

Download Full-text

Strategic room type allocation for nursing wards through Markov chain modeling

Artificial Intelligence in Medicine ◽

10.1016/j.artmed.2019.101705 ◽

2019 ◽

Vol 99 ◽

pp. 101705 ◽

Cited By ~ 1

Author(s):

Anders Reenberg Andersen ◽

Wim Vancroonenburg ◽

Greet Vanden Berghe

Keyword(s):

Markov Chain ◽

Markov Chain Modeling

Download Full-text

Asset Picking Based on a Markov Chain Modeling the Asset Performance

IEEE Transactions on Emerging Topics in Computational Intelligence ◽

10.1109/tetci.2020.3019014 ◽

2020 ◽

pp. 1-10

Author(s):

Jean-Marc Le Caillec

Keyword(s):

Markov Chain ◽

Markov Chain Modeling

Download Full-text

HIV, AIDS and the approximate calculation of life insurance functions, annuities and net premiums

Journal of the Institute of Actuaries ◽

10.1017/s0020268100019909 ◽

1992 ◽

Vol 119 (2) ◽

pp. 345-364

Author(s):

S. Haberman

Keyword(s):

Markov Chain ◽

Life Insurance ◽

Approximate Calculation ◽

Working Party ◽

Hiv And Aids ◽

State Model ◽

Transmission Model ◽

Value Functions ◽

Explicit Formulae ◽

Standard Life

AbstractThe paper presents an application of the Markov chain as a tool for the calculation of life contingencies functions (e.g. assurance, annuity, net premium, policy value functions) arising from a multi-state model which represents the transmission and development of HIV and AIDS. The transmission model advocated by the Institute of Actuaries AIDS Working Party is modified and simplified and then applied to derive explicit formulae for these standard life contingencies functions. This investigation allows a thorough review of the properties of these functions to be conducted and assists with the calculation of premiums and reserves in the presence of HIV and AIDS.

Download Full-text