Forward transition rates (Q2274227)

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Forward transition rates
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    Forward transition rates (English)
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    19 September 2019
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    In this article, the authors present a new concept of forward transition rates in a doubly stochastic Markov setting. The key to this new definition is the question whether the concept of forward mortality can be adapted to multi-state models. The authors derive identities (3.1)--(3.3), where the first is comparable to Kolmogorov forward equations. These identities are desirable properties for any definition of forward transition rates. Later on, they introduce a novel forward transition rate candidate, and prove existence and uniqueness; see Theorem 3.2. The authors compare their definition of forward transition rates with those in [\textit{M. C. Christiansen} and \textit{A. Niemeyer}, Finance Stoch. 19, No. 2, 295--327 (2015; Zbl 1311.60087)] and [\textit{K. Buchardt}, Scand. Actuar. J. 2017, No. 5, 377--394 (2017; Zbl 1401.91104)]. They also relate their work to actuarial practice.
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    forward rates
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    doubly stochastic Markov models
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    life insurance
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    Kolmogorov forward equations
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