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

benefit reservesCTE loaded premiumsmultiple life productsphase-type distributionsportfolio 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)

• Bivariate Sarmanov phase-type distributions for joint lifetimes modeling
• Green nested simulation via likelihood ratio: applications to longevity risk management
• Modeling the effect of health: phase-type approach
• 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

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