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Die Pfade einer bewerteten inhomogenen Markov-Kette - Fallbeispiele aus der betrieblichen Altersversorgung

Author

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  • Knobloch, Ralf

Abstract

In der vorliegenden Arbeit werden in drei Fallbeispielen aus dem Bereich der betrieblichen Altersversorgung die Versorgungszusagen mithilfe von bewerteten inhomogenen Markov-Ketten modelliert. Dabei liegt der Fokus auf den Pfaden der Markov-Ketten. Es wird anhand der Fallbeispiele gezeigt, wie man mithilfe der Pfade den Erwartungswert und die Standardabweichung der Zufallsvariablen "Barwert aller zukünftigen Zahlungen" berechnen kann. Darüber hinaus ist es auf Basis der Pfade möglich, in Bezug auf diese Zufallsvariable auch Wahrscheinlichkeiten von speziellen Ereignissen und Risikomaße - Value at Risk und Expected Shortfall - zu berechnen.

Suggested Citation

  • Knobloch, Ralf, 2018. "Die Pfade einer bewerteten inhomogenen Markov-Kette - Fallbeispiele aus der betrieblichen Altersversorgung," Forschung am ivwKöln 4/2018, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.
    • Handle: RePEc:zbw:thkivw:42018
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    Cited by:

    1. Knobloch, Ralf, 2020. "Modellierung einer Cantelli-Zusage mithilfe einer bewerteten inhomogenen Markov-Kette," Forschung am ivwKöln 4/2020, Technische Hochschule Köln – University of Applied Sciences, Institute for Insurance Studies.

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