Dependent interest and transition rates in life insurance
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DOI: 10.1016/j.insmatheco.2014.01.004
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Cited by:
- Jiwook Jang & Siti Norafidah Mohd Ramli, 2018. "Hierarchical Markov Model in Life Insurance and Social Benefit Schemes," Risks, MDPI, vol. 6(3), pages 1-17, June.
- Marcus Christiansen & Andreas Niemeyer, 2015. "On the forward rate concept in multi-state life insurance," Finance and Stochastics, Springer, vol. 19(2), pages 295-327, April.
- Mathias Valla & Xavier Milhaud & Anani Ayodélé Olympio, 2023. "Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategies," Post-Print hal-03903047, HAL.
- Berdin, Elia & Gründl, Helmut & Kubitza, Christian, 2017. "Rising interest rates, lapse risk, and the stability of life insurers," ICIR Working Paper Series 29/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Xavier Milhaud & Christophe Dutang, 2018. "Lapse tables for lapse risk management in insurance: a competing risk approach," Post-Print hal-01727669, HAL.
- Jamaal Ahmad & Mogens Bladt, 2022. "Phase-type representations of stochastic interest rates with applications to life insurance," Papers 2207.11292, arXiv.org, revised Nov 2022.
- Mathias Valla & Xavier Milhaud & Anani Ayodélé Olympio, 2023. "Including individual Customer Lifetime Value and competing risks in tree-based lapse management strategy," Working Papers hal-03903047, HAL.
- Kristian Buchardt & Christian Furrer & Mogens Steffensen, 2019. "Forward transition rates," Finance and Stochastics, Springer, vol. 23(4), pages 975-999, October.
- Kristian Buchardt & Thomas Møller, 2015. "Life Insurance Cash Flows with Policyholder Behavior," Risks, MDPI, vol. 3(3), pages 1-28, July.
- Xavier Milhaud & Christophe Dutang, 2018. "Lapse tables for lapse risk management in insurance: a competing risk approach," Post-Print hal-01985256, HAL.
- K. Buchardt & C. Furrer & M. Steffensen, 2018. "Forward transition rates," Papers 1811.00137, arXiv.org, revised Apr 2019.
- Jang, Jiwook & Mohd Ramli, Siti Norafidah, 2015. "Jump diffusion transition intensities in life insurance and disability annuity," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 440-451.
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More about this item
Keywords
Affine processes; Doubly stochastic process; Multi-state life insurance models; Policyholder behaviour; Solvency II; Surrender;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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