Jump diffusion transition intensities in life insurance and disability annuity

DOI10.1016/j.insmatheco.2015.07.002zbMath1348.91154OpenAlexW1097107786MaRDI QIDQ495519

Siti Norafidah Mohd Ramli, Ji-Wook Jang

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.07.002

zbMATH Keywords

Cox processjump diffusion processhierarchical Markov modelmortality and morbidity rateterm insurance and disability annuity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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