Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes

DOI10.1080/03461238.2019.1636858zbMath1430.91072OpenAlexW2959792545MaRDI QIDQ5210999

Bølviken, Erik, Frank Norbert Proske, Sindre Duedahl, David R. Baños

Publication date: 17 January 2020

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

Full work available at URL: http://urn.nb.no/URN:NBN:no-78201

zbMATH Keywords

Lévy processesnonlinear filteringlife insurancestochastic transition rates

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05)

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