PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS
From MaRDI portal
Publication:2909509
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)
unemployment insurance; doubly stochastic Markov chain; benchmark approach; actuarial martingale pricing; intensity based approach
60J10: Markov chains (discrete-time Markov processes on discrete state spaces)
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