Calculate maximum likelihood estimates of transition intensities and probabilities for multiple state and multiple decrement models, assuming piecewise constant transition intensities.
Free SOA Exam ALTAM (Advanced Long-Term Actuarial Mathematics) lesson in Survival Models for Contingent Cash Flows. 10 min read, ~1,501 words.
Core MLE:. Transitions out of into over total waiting time in. Piecewise constant means is flat inside each age band; you re-estimate for each band. Variance:. Standard error is. Probabilities from intensities: solve Kolmogorov forward, or for one-band stays use the constant-intensity formulas. Multiple decrement is the special case where...
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