Dependent interest and transition rates in life insurance

DOI10.1016/j.insmatheco.2014.01.004zbMath1296.91145OpenAlexW2063438742MaRDI QIDQ743157

Kristian Buchardt

Publication date: 22 September 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.01.004

zbMATH Keywords

affine processesSolvency IIsurrendermulti-state life insurance modelsdoubly stochastic processpolicyholder behaviour

Mathematics Subject Classification ID

Related Items (9)

Lapse tables for lapse risk management in insurance: a competing risk approach ⋮ MULTI-STATE MODELLING OF CUSTOMER CHURN ⋮ Kolmogorov’s forward PIDE and forward transition rates in life insurance ⋮ Cash flows and policyholder behaviour in the semi-Markov life insurance setup ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ Jump diffusion transition intensities in life insurance and disability annuity ⋮ Stochastic interest model based on compound Poisson process and applications in actuarial science ⋮ Forward transition rates ⋮ On the forward rate concept in multi-state life insurance

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• Lapse rate modeling: a rational expectation approach
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Continuous affine processes: transformations, Markov chains and life insurance

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