Jump diffusion transition intensities in life insurance and disability annuity

DOI10.1016/j.insmatheco.2015.07.002zbMath1348.91154OpenAlexW1097107786MaRDI QIDQ495519

Siti Norafidah Mohd Ramli, Ji-Wook Jang

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.07.002

zbMATH Keywords

Cox processjump diffusion processhierarchical Markov modelmortality and morbidity rateterm insurance and disability annuity

Mathematics Subject Classification ID

Related Items (1)

A Cox model for gradually disappearing events

Cites Work

• Unnamed Item
• Unnamed Item
• Securitization, structuring and pricing of longevity risk
• Dependent interest and transition rates in life insurance
• Affine processes for dynamic mortality and actuarial valuations
• Valuation and hedging of life insurance liabilities with systematic mortality risk
• Jump diffusion processes and their applications in insurance and finance
• Mortality derivatives and the option to annuitise.
• Multistate models in health insurance
• The surprise element: Jumps in interest rates.
• Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Safety margins for unsystematic biometric risk in life and health insurance
• A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES
• AN EXACT FORMULA FOR DEFAULT SWAPTIONS’ PRICING IN THE SSRJD STOCHASTIC INTENSITY MODEL
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• A time‐continuous markov chain interest model with applications to insurance
• A general characterization of one factor affine term structure models

This page was built for publication: Jump diffusion transition intensities in life insurance and disability annuity