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Time-homogeneous Markov jump processes: Modeling Random Jumps
Автор: Ismaila Adeleke
Загружено: 2026-02-23
Просмотров: 12
Описание: This text explores time-homogeneous Markov jump processes and their practical utility in actuarial modeling, such as tracking transitions between health, sickness, and death. It details the Poisson process as a foundational continuous-time model, explaining its properties through holding times and the mathematical rules of thinning and sums. A significant portion of the material is dedicated to Kolmogorov’s forward and backward equations, which are differential equations used to determine the probability of a life being in a specific state over time.
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