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PhD Project: Conditional Phase-Type Model in Pension and Health Insurance Premium Calculations

Posted by: Zili Zhu

September 21, 2016

Phase-type model has been an important probabilistic tool in the analysis of complex stochastic system evolution. The model describes the lifetime distribution of an underlying Markov pro-cess making transitions within predetermined states/pools before moving to an absorbing state. In insurance and superannuation, the states may represent the status of an insured individual.

The goal of this project is two fold. First, we want to investigate the use of the conditional phase-type model proposed in [1], [2] for the calculations of pension and health insurance premium by taking account of heterogeneity among insured individuals and the advantage of available data. We should expect to see different results between the two models. Secondly, we are looking at the possibility of making a GUI platform (in R) that implements the model to real data.

[1] Surya, B.A. (2016). Markov chains mixture process and its phase-type dis-tributions. Working paper. Victoria University of Wellington, New Zealand.

[2] Zadeh, A.H., Jones, B.L. and Stanford, D.A. (2014). The use of phase-type models for disability insurance calculations, Scand. Actuar. J., 8, 714-728.

Applications can be made by selecting the below link.

Please attach supporting documentation including a covering letter outlining why you would like to undertake the PhD project and a current CV including 2 referees. Please note that more than one application can be made if  you wish to be considered for more than one PhD project.

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