عنوان مقاله [English]
نویسندگان [English]چکیده [English]
The application of phase-type models in modeling mortality has been investigated in this paper. A Phase-type distribution is defined as the time till absorption in a continuous-time Markov chain. In this model, physiological age is used rather than real biological age. Physiological age is calculated based on tissues and organs' functionality. Each state in the underlying Markov chain represents a physiological age, and death is the final state. By using matrix analytic methods in phase-type context, all quantities related to death, such as death probability is calculated. In order to estimate the parameters of the phase-type, the least squared loss is minimized. Finally, after validating the model, the results are used to price life insurance and life annuity products.