Aggregate Markov models in life insurance: properties and valuation

DOI10.1016/j.insmatheco.2023.07.006arXiv2212.03705OpenAlexW4385638603MaRDI QIDQ6193113

Jamaal Ahmad, Christian Furrer, Mogens Bladt

Publication date: 13 February 2024

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2212.03705

zbMATH Keywords

duration dependenceproduct integralsphase-type distributionsexpected cash flowsmulti-state modelling

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Actuarial mathematics (91G05)

Cites Work

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