Phase-type representations of stochastic interest rates with applications to life insurance

DOI10.1007/s13385-023-00346-4arXiv2207.11292OpenAlexW4377291280MaRDI QIDQ6201518

Mogens Bladt, Jamaal Ahmad

Publication date: 21 February 2024

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

Full work available at URL: https://arxiv.org/abs/2207.11292

zbMATH Keywords

phase-type distributionstochastic interest ratezero-coupon bondThiele's differential equationmulti-state life insurance

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Actuarial mathematics (91G05)

Cites Work

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