PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS

DOI10.1142/S0219024912500252zbMath1246.91050MaRDI QIDQ2909509

Jan Widenmann, Francesca Biagini

Publication date: 30 August 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

unemployment insurance; doubly stochastic Markov chain; benchmark approach; actuarial martingale pricing; intensity based approach

Mathematics Subject Classification ID

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

Related Items

Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets, A benchmark approach to risk-minimization under partial information, Intensity-based premium evaluation for unemployment insurance products, Local risk-minimization under the benchmark approach, Optimal entry decision of unemployment insurance under partial information

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