Application of the phase‐type mortality law to life contingencies and risk management

DOI10.1002/ASMB.2233zbMath1420.91134OpenAlexW2587904010MaRDI QIDQ4620199

Joseph H. T. Kim, Taehan Bae, So-Yeun Kim

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2233

zbMATH Keywords

phase-type distributionsbenefit reservesCTE loaded premiumsmultiple life productsportfolio diversification effectportfolio interest rate sensitivityprovision for adverse deviationpure premiumssubgroup pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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