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An Actuarial Survey of Statistical Models for Decrement and Transition Data - I: Multiple State, Poisson and Binomial Models

Published online by Cambridge University Press:  10 June 2011

A.S. Macdonald
A.S. Macdonald
Affiliation:
Department of Actuarial Maths & Stats, Heriot-Watt University, Edinburgh, EH14 4AS, U.K. Tel: +44 (0)131 451 3202; Fax: +44 (0)131 451 3249; E-mail: a.s.macdonald@ma.hw.ac.uk
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Abstract

This paper surveys some statistical models of survival data. A basic model of a random lifetime is defined, and censoring is introduced. Methods based on observations of small segments of lifetimes are compared. Markov and semi-Markov (multiple state) models are recommended as well-understood and flexible models well suited to actuarial data. A Poisson model is discussed as an approximation to a two state model, while traditional Binomial-type models are shown to be more restricted and less tractable than multiple state models.

Keywords

Actuarial EstimateBalducci AssumptionCensoringMarkov ModelsMultiple State ModelsSemi-Markov Models
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 2 , Issue 1 , 01 April 1996 , pp. 129 - 155
Copyright
Copyright © Institute and Faculty of Actuaries 1996

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