Fractional inhomogeneous multi-state models in life insurance

DOI10.1080/03461238.2021.1998921zbMath1498.91350arXiv2110.05199OpenAlexW3214496136MaRDI QIDQ5106336

Martin Bladt

Publication date: 19 September 2022

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

Full work available at URL: https://arxiv.org/abs/2110.05199

zbMATH Keywords

fractional calculuslife insurancereservesmatrix distributions

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Actuarial mathematics (91G05)

Cites Work

• Modeling and Forecasting U.S. Mortality
• Human life is unlimited -- but short
• Differential equations for moments of present values in life insurance
• On probability distributions of present values in life insurance
• A fractional multi-states model for insurance
• Multivariate matrix Mittag-Leffler distributions
• Matrix Mittag-Leffler distributions and modeling heavy-tailed risks
• Matrix representations of life insurance payments
• Multivariate fractional phase-type distributions
• Matrix-Exponential Distributions in Applied Probability
• Reserves in Life and Pension Insurance
• Inhomogeneous phase-type distributions and heavy tails
• Markov Chain Models in Life Insurance

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