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. 29 min read, ~4,335 words.
Markov model: states, transition intensities, 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. CCRC states: Independent Living, Assisted Living, Skilled Nursing, Withdrawn...
Read the full lesson, free →
Worked examples, audio narration, and practice. No signup to read.
What this lesson covers
- Content
- Example 1
- Example 2
- Example 3
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- 1b
Browse all free Exam ALTAM lessons or jump into free Exam ALTAM practice questions.