Christian Furrer (University of Copenhagen, Denmark)
Abstract: Essentially, any multi-state model consists of three components: a probabilistic model, a specification of sojourn and transition payments, and potential restrictions on the available information. For classic Markov chain models, the probabilistic model is a Markov chain, the sojourn and transition payments are required to be deterministic, and the available information consists of the current state of the insured. Throughout the last decade, there has been an increasing interest in multi-state modeling in life insurance beyond Markov chain models, ranging from semi-Markov modeling to actual non-Markov modeling. In this talk, I review recent developments, discuss some key contributions, and suggest various directions for future research on the interface between actuarial science and probability theory.
* zoom link available upon request