Matrix representations of life insurance payments
From MaRDI portal
Publication:2209784
DOI10.1007/s13385-019-00222-0zbMath1452.91262OpenAlexW3000311667WikidataQ126380850 ScholiaQ126380850MaRDI QIDQ2209784
Mogens Steffensen, Mogens Bladt, Soren Asmussen
Publication date: 4 November 2020
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-019-00222-0
Related Items (9)
Moments and polynomial expansions in discrete matrix-analytic models ⋮ Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Transaction time models in multi-state life insurance ⋮ Fractional inhomogeneous multi-state models in life insurance ⋮ Aggregate Markov models in life insurance: properties and valuation ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ Retrospective reserves and bonus ⋮ Multivariate higher order moments in multi-state life insurance
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Polynomial approximations for bivariate aggregate claims amount probability distributions
- A polynomial expansion to approximate the ultimate ruin probability in the compound Poisson ruin model
- On a gamma series expansion for the time-dependent probability of collective ruin
- Differential equations for moments of present values in life insurance
- On probability distributions of present values in life insurance
- Orthogonal polynomial expansions to evaluate stop-loss premiums
- A survey of product-integration with a view toward application in survival analysis
- On Bonus and Bonus Prognoses in Life Insurance
- Matrix-Exponential Distributions in Applied Probability
- Hattendorff's Theorem: A Markov chain and counting process approach
- Reserves in Life and Pension Insurance
- Computing integrals involving the matrix exponential
- Nineteen Dubious Ways to Compute the Exponential of a Matrix
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Applied Probability and Queues
- Numerical Inversion of Laplace Transforms of Probability Distributions
- Marked point processes as limits of Markovian arrival streams
- Markov Chain Models in Life Insurance
This page was built for publication: Matrix representations of life insurance payments
