III. INTRO TO MULTIPLE STATE MODELS IV.

MSM : PROB & ACTUARIAL FUNCTION

The Alive-Dead Model | Accidental Death Model Kolmogorov’s forward (differential) equations

Prob kembali Prob keluar

ke state awal dari state tsb

Pembuktian KFE
Permanen Disability Model

Prob keluar Prob kembali

dari state tsb ke state awal

Notasi dalam aktuaria

𝑖𝑗
𝑎̅𝑥 : EPV of a benefit of 1 per year payable
Sickness-Death Model (disability income insurance:
continuously while (x) is in state j, given that
memberikan pembayaran benefit berperiode/anuitas
(x) is currently in state i.
ketika insurer tidak dapat bekerja karena sakit) 𝑖𝑗
𝑎̅𝑥:𝑛 : EPV of a benefit of 1 per year payable
continuously while (x) is in state j, ceasing at
age x+n, given that (x) is currently in state i.
𝑖𝑗
𝐴̅𝑥|𝑛 : EPV of a payment of 1 immediately on each
transition into state j occuring before time n,
for a life currently age (x) and currently in state
Critical Illness Model (state 2 dan 3 terpisah karena i.
benefit yang diterima akan berbeda)

Asumsi Markov untuk Multiple State Models

1. the probability does not depend on the
information before time t. Probabilitas transisi
hanya tergantung pada status sekarang, bukan
pada periode sebelumnya.
2. No multiple transitions.
3. transition forces

V. MSM : PREMIUM & POLICY VALUE

µ : constant force transition Policy Value
̅
𝑖𝑖
𝑡𝑃𝑥 : peluang seseorang yang saat ini berada pada
status i, akan tetap berada pada status i pada
t tahun berikutnya.
outgo: benefit, annual payment; income: premium

Thiele’s Equation (komputasi)

 VI. DISCRETE TIME MSM VII. CONS & DECONS MULTIPLE
DECREMENT TABLES
Markov Chain Model
𝑖𝑗 Notation MDM Table
Define 𝐴𝑥 x where j is an absorbing state:
𝑖𝑗 00 (𝜏) (𝜏) (𝜏) (𝜏)
𝑎̈ 𝑥 : EPV of a benefit of 1 per year payable in the 𝑡𝑃𝑥 = 𝑡𝑃𝑥 𝑡𝑃𝑥 = 𝑙𝑥+𝑡 ⁄𝑙𝑥
beginning of the year while (x) is in state j, (𝜏) (𝜏) (𝑗) (𝑗) (𝜏)
1− 𝑡𝑃𝑥 = 𝑡𝑞𝑥 𝑞𝑥 = 𝑑𝑥 ⁄𝑙𝑥
given that (x) is currently in state i.
𝑛
𝑖𝑗 0𝑗 (𝑗) (𝜏) (𝑗)
𝐴𝑥 : EPV of a payment of 1 at the end of the year 𝑡𝑃𝑥 = 𝑡𝑞𝑥 𝑞𝑥 = ∑ 𝑞𝑥
that (x) transition into state j, given that (x) is 𝑗=1
0𝑗 (𝑗) (𝑗) (𝑗) (𝜏)
currently in state i. 𝜇𝑥 = 𝜇𝑥 𝑘|𝑞𝑥 𝑑𝑥+𝑘 ⁄𝑙𝑥
Chapman Kolmogorov:
Independent Probability (Probabilities in the Single
in particular  Decrement)
Matriks transisi 𝑃𝑥+1 =

Dependent Probability (Probabilities in the Multiple

Decrement Model)

Creating MDTs from SDTs

Asumsi Constant Force

2𝑃𝑥 adalah perkalian matriks antara 𝑃𝑥 dengan 𝑃𝑥+1

𝑡+1𝑃𝑥 adalah perkalian matriks antara 𝑡𝑃𝑥 dengan 𝑃𝑥+𝑡

Multiple Decrement Model Asumsi UDD

IX. JOINT LIFE INSURANCE

𝜇𝑥01
 All lives start in state 0
 Each life makes at most one transition into a state with
03
no exits 𝜇𝑥𝑦
𝜇𝑦02 𝜇𝑦13
Contoh skema pension:
𝜇𝑥23

 Tx future lifetime (x) – Ty future lifetime (y)

 Txy = min (Tx, Ty) future lifetime of the joint life
status [fail scr bersama2 jika salah satu meninggal]
 T̅̅̅
𝑥𝑦 = max (Tx, Ty) future lifetime of the last
survivor status [fail scr bersama2 jika kedua nya
meninggal]
 eg for a 3-decrement model (which has four states
including the starting state)
𝐴̅𝑥𝑦 + 𝐴̅𝑥𝑦 ̅ ̅
̅̅̅̅ = 𝐴𝑥 + 𝐴𝑦
 Joint Life Model
Anuitas
 Joint life annuity [continues to the first death]
 Last survivor annuity [continues to the second
(last) death]
 Reversionary annuity to (y) on (x) [life annuity to
(y), starts on the death of (x)]
 General contingent annuity [payment of annuity is
contingent on events, eg -while (x) is alive for up
to 5 years after death of (y)]

Insurance Function
 Joint Life Insurance (pays on first death)
 Last survivor insurance (pays on second (last)
death)
 Contingent life insurance (Pays on specified first
death or specified second death
 General contingent insurance (death benefit is
contingent on events, eg payment on death of (x) if
(y) is still alive)