Application of the phase-type mortality law to life contingencies and risk management

DOI10.1002/ASMB.2233zbMATH Open1420.91134OpenAlexW2587904010MaRDI QIDQ4620199FDOQ4620199

Joseph H. T. Kim, Taehan Bae, So-Yeun Kim

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2233

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zbMATH Keywords

phase-type distributionsbenefit reservesCTE loaded premiumsmultiple life productsportfolio diversification effectportfolio interest rate sensitivityprovision for adverse deviationpure premiumssubgroup pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (4)

• Valuing equity-linked death benefits on multiple life with time until death following a \(K_n\) distribution
• Modeling and analysis of system reliability using phase-type distribution closure properties
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Green nested simulation via likelihood ratio: applications to longevity risk management

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