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

DOI10.1080/03461238.2016.1160255zbMATH Open1401.91104OpenAlexW2330159485MaRDI QIDQ4575472FDOQ4575472

Authors: 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

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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)

Cites Work

• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• On Cox processes and credit risky securities
• Stochastic methods. A handbook for the natural and social sciences
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Stochastic models in life insurance. Translation from the 2nd German edition.
• Mortality derivatives and the option to annuitise.
• Title not available (Why is that?)
• Reserves in Life and Pension Insurance
• Forward mortality and other vital rates - are they the way forward?
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• Multistate models in health insurance
• Dependent interest and transition rates in life insurance
• A stochastic version of Thiele's differential equation
• Title not available (Why is that?)
• On the forward rate concept in multi-state life insurance

Cited In (3)

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

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