Cash flows and policyholder behaviour in the semi-Markov life insurance setup
From MaRDI portal
Publication:4576920
DOI10.1080/03461238.2013.879919zbMath1401.91105OpenAlexW2135514567MaRDI QIDQ4576920
Kristian Buchardt, Kristian Bjerre Schmidt, Thomas Møller
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2013.879919
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (20)
Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Lapse tables for lapse risk management in insurance: a competing risk approach ⋮ MULTI-STATE MODELLING OF CUSTOMER CHURN ⋮ Lapse risk in life insurance: correlation and contagion effects among policyholders' behaviors ⋮ COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Reserves and cash flows under stochastic retirement ⋮ Kolmogorov’s forward PIDE and forward transition rates in life insurance ⋮ Transaction time models in multi-state life insurance ⋮ Extension of as-if-Markov modeling to scaled payments ⋮ Reserve-dependent surrender rates ⋮ Aggregate Markov models in life insurance: properties and valuation ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ A multivariate Markov chain stock model ⋮ The determinants of lapse rates in the Italian life insurance market ⋮ Markov chain modeling of policyholder behavior in life insurance and pension ⋮ Forward transition rates ⋮ Cash flow techniques for asset liability management ⋮ Nonlinear reserving and multiple contract modifications in life insurance ⋮ APPLYING ECONOMIC MEASURES TO LAPSE RISK MANAGEMENT WITH MACHINE LEARNING APPROACHES
Cites Work
- Unnamed Item
- Unnamed Item
- Markov chain modeling of policyholder behavior in life insurance and pension
- Stochastic models in life insurance. Translation from the 2nd German edition.
- Dependent interest and transition rates in life insurance
- Point processes and queues. Martingale dynamics
- The actuarial treatment of the disability risk in Germany, Austria and Switzerland
- Intervention options in life insurance
- Multistate models in health insurance
- Ordinary differential equations. An introduction to nonlinear analysis. Transl. from the German by Gerhard Metzen
- Lapse rate modeling: a rational expectation approach
- A stochastic version of Thiele's differential equation
- Reserves in Life and Pension Insurance
- A partial internal model for longevity risk
- Valuation of Participating Life Insurance Liabilities
- An Actuarial Analysis of Participating Life Insurance
- Markov Chain Models in Life Insurance
This page was built for publication: Cash flows and policyholder behaviour in the semi-Markov life insurance setup