PRICING OF UNEMPLOYMENT INSURANCE PRODUCTS WITH DOUBLY STOCHASTIC MARKOV CHAINS

DOI10.1142/S0219024912500252zbMath1246.91050MaRDI QIDQ2909509

Jan Widenmann, Francesca Biagini

Publication date: 30 August 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

unemployment insurancedoubly stochastic Markov chainbenchmark approachactuarial martingale pricingintensity based approach

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (5)

Optimal entry decision of unemployment insurance under partial information ⋮ Intensity-based premium evaluation for unemployment insurance products ⋮ Local risk-minimization under the benchmark approach ⋮ Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets ⋮ A benchmark approach to risk-minimization under partial information

Cites Work

• The Pricing of Options and Corporate Liabilities
• A class of \(\mathbb F\)-doubly stochastic Markov chains
• A martingale approach to premium calculation principles in an arbitrage free market
• A bidimensional approach to mortality risk
• Martingales and stochastic integrals in the theory of continuous trading
• Reinsurance in arbitrage-free markets
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• The numéraire portfolio in semimartingale financial models
• A benchmark approach to quantitative finance
• Diversified portfolios with jumps in a benchmark framework
• M6—On Minimal Market Models and Minimal Martingale Measures
• From actuarial to financial valuation principles
• The numeraire portfolio for unbounded semimartingale

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