Forward transition rates

DOI10.1007/s00780-019-00397-0zbMath1469.91057arXiv1811.00137OpenAlexW2963024777WikidataQ127713671 ScholiaQ127713671MaRDI QIDQ2274227

Mogens Steffensen, Christian Furrer, Kristian Buchardt

Publication date: 19 September 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.00137

zbMATH Keywords

life insuranceforward ratesKolmogorov forward equationsdoubly stochastic Markov models

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40) Risk models (general) (91B05) Actuarial mathematics (91G05)

Related Items (5)

Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Modeling the Risk in Mortality Projections ⋮ Extension of as-if-Markov modeling to scaled payments ⋮ Aggregate Markov models in life insurance: properties and valuation ⋮ On the calculation of prospective and retrospective reserves in non-Markov models

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