Scaled insurance cash flows: representation and computation via change of measure techniques
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DOI: 10.1007/s00780-022-00472-z
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Cited by:
- Ahmad, Jamaal & Bladt, Mogens & Furrer, Christian, 2023. "Aggregate Markov models in life insurance: Properties and valuation," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 50-69.
- Christiansen, Marcus C. & Furrer, Christian, 2022. "Extension of as-if-Markov modeling to scaled payments," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 288-306.
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More about this item
Keywords
Multi-state life insurance; Incidental policyholder behaviour; Jump processes; Föllmer measures;All these keywords.
JEL classification:
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
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