Stochastic models in life insurance. Translation from the 2nd German edition.

DOI10.1007/978-3-642-28439-7zbMath1248.91005OpenAlexW593100925MaRDI QIDQ665529

Michael Koller

Publication date: 5 March 2012

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-28439-7

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (9)

The joint impact of fertility and unemployment on the level of state-aided pensions ⋮ COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE ⋮ Reserves and cash flows under stochastic retirement ⋮ Kolmogorov’s forward PIDE and forward transition rates in life insurance ⋮ Cash flows and policyholder behaviour in the semi-Markov life insurance setup ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ Integration by parts and martingale representation for a Markov chain ⋮ Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes ⋮ A Note on Differentiability in a Markov Chain Market Using Stochastic Flows

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