Jump diffusion transition intensities in life insurance and disability annuity
From MaRDI portal
Publication:495519
DOI10.1016/j.insmatheco.2015.07.002zbMath1348.91154MaRDI 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
Cox process; jump diffusion process; hierarchical Markov model; mortality and morbidity rate; term insurance and disability annuity
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
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