Apply Markov multiple state models to state-contingent life and long-term health insurance benefits, and Continuing Care Retirement Communities (CCRCs).
Free SOA Exam ALTAM (Advanced Long-Term Actuarial Mathematics) lesson in Survival Models for Contingent Cash Flows. 30 min read, ~4,483 words.
Markov model: states, transition intensities; the future depends only on current state and age. Occupancy probability allows any path; sojourn probability requires no exit. Kolmogorov forward equations evolve; Thiele extends reserve recursion to multi-state policies. Annuity-in-state EPV uses; lump-sum-on-transition EPV multiplies by. DI valuation hinges on the recovery intensity; forcing...
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What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Common Mistakes
- Check Your Understanding
- Exam Shortcuts
Learning objectives
- 1b
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