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

DOI10.1002/ASMB.2233MaRDI QIDQ4620199zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cited in

(6)

• 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
• Pricing guaranteed minimum death benefit contracts under the phase-type law of mortality
• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Modeling the effect of health: phase-type approach
• Green nested simulation via likelihood ratio: applications to longevity risk management

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