Title
MOMENTS OF PHASE-TYPE AGING MODELING FOR HEALTH DEPENDENT COSTS
Authors
Abstract
In this paper, we use a discrete time Phase-type process to model the health care cost of aninsurance contract by considering all possible critical health states of an individual with
constant interest rate. From the moment generating function of the NPV, we derive a recursive
formula of this Markov Reward Model (MRM).
Keywords
Health dependent costs, Net present value, Phase-type aging process, Markov reward model, Recursive moments
Classification-JEL
C650, I130
Pages
37-64