Reserves and cash flows under stochastic retirement

DOI10.1080/03461238.2015.1028432zbMath1401.91140OpenAlexW2031350178MaRDI QIDQ4575382

Jeppe Woetmann Nielsen, Kamille Sofie Tågholt Gad

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1028432

zbMATH Keywords

ordinary differential equationSolvency IIbehavioural optionbenefit scalingdiscontinuous transition probabilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (3)

Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Extension of as-if-Markov modeling to scaled payments ⋮ Aggregate Markov models in life insurance: properties and valuation

Cites Work

• Markov chain modeling of policyholder behavior in life insurance and pension
• Stochastic models in life insurance. Translation from the 2nd German edition.
• Reserve-dependent surrender rates
• Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies
• Lapse rate modeling: a rational expectation approach
• Reserves in Life and Pension Insurance
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• Unnamed Item

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