Calibration of Transition Intensities for a Multistate Model: Application to Long-Term Care

نویسندگان

چکیده

We consider a non-homogeneous continuous time Markov chain model for Long-Term Care with five states: the autonomous state, three dependent states of light, moderate and severe dependence levels death state. For general approach, we allow non null intensities all returns from higher to lesser dependencies in multi-state model. Using data 2015 Portuguese National Network Continuous database, as main research contribution this paper, propose method calibrate transition one step probabilities estimated data. This allows us use chains modeling Care. solve numerically Kolmogorov forward differential equations order obtain probabilities. assess quality calibration using life expectancies. Based on reasonable monthly costs each state compute, by Monte Carlo simulation, trajectories process derive relevant information validation premium calculation.

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ژورنال

عنوان ژورنال: Risks

سال: 2021

ISSN: ['2227-9091']

DOI: https://doi.org/10.3390/risks9020037