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Title:Calculation of LTC Premiums based on direct estimates of transition probabilities PDF Logo
Authors:Helms, Florian
Czado, Claudia
Gschlößl, Susanne
Issue Date:2004
Series/Report no.:Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 393
Abstract:In this paper we model the life-history of LTC patients using a Markovian multi-state model in order to calculate premiums for a given LTC-plan. Instead of estimating the transition intensities in this model we use the approach suggested by Andersen et al. (2003) for a direct estimation of the transition probabilities. Based on the Aalen-Johansen estimator, an almost unbiased estimator for the transition matrix of a Markovian multi-state model, we calculate so-called pseudo-values, known from Jackknife methods. Further, we assume that the relationship between these pseudo-values and the covariates of our data are given by a GLM with the logit as link-function. Since the GLMs do not allow for correlation between successive observations we use instead the Generalized Estimating Equations (GEEs) to estimate the parameters of our regression model. The approach is illustrated using a representative sample from a German LTC portfolio.
Subjects:Markovian Multi-State Model
Transition Probabilities
Aalen-Johansen Estimator
Pseudo-Values
GLM
GEE
LTC
Premium
Persistent Identifier of the first edition:urn:nbn:de:bvb:19-epub-1763-2
Document Type:Working Paper
Appears in Collections:Discussion papers, SFB 386, LMU München

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