Kolmogorov’s forward PIDE and forward transition rates in life insurance

DOI10.1080/03461238.2016.1160255zbMath1401.91104OpenAlexW2330159485MaRDI QIDQ4575472

Kristian Buchardt

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2016.1160255

zbMATH Keywords

life insurancesemi-Markovdoubly stochastic Markov modelforward transition rateKolmogorov's differential equationstochastic transition rate

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Integro-partial differential equations (35R09)

Related Items (3)

Two-dimensional forward and backward transition rates ⋮ Forward transition rates ⋮ On the calculation of prospective and retrospective reserves in non-Markov models

Cites Work

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