Scenario-based life insurance prognoses in a multi-state Markov model
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Publication:2356630
DOI10.1007/s13385-016-0137-8zbMath1394.91220OpenAlexW2521298424MaRDI QIDQ2356630
Publication date: 6 June 2017
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13385-016-0137-8
stochastic differential equationsunit-linked insuranceparticipating life insuranceeconomic scenariosbonusprognoses
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27)
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Cites Work
- On Bonus and Bonus Prognoses in Life Insurance
- Performance measurement of pension strategies: a case study of Danish life-cycle products
- A two-account model of pension saving contracts
- Stress scenario generation for solvency and risk management
- Markov Chain Models in Life Insurance
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