PhD Defense Christian Furrer

Title: Multi-state modeling in the mathematics of life insurance: meditations and applications

This thesis consists of a series of independent investigations pertaining primarily to multi-state modeling in the mathematics of life insurance. First, we study the dynamics of state-wise prospective reserves in the presence of non-monotone information. The corresponding main result consists of a generalization of the stochastic Thiele equations. Next, we present and discuss a series of questions concerning the representation and computation of expected accumulated cash flows in the presence of bonus, incidental policyholder behavior, and double stochasticity, respectively. Central contributions include the derivation of procedures for the computation of the market value of bonus payments, establishment of links between measure changes and scaling factors resulting from the exercise of policyholder options, and the comparison of pros and cons of various concepts of forward transition rates. Following this, we study experience rating for multi-state life insurance by applying empirical Bayes methods to a multivariate frailty extension of the classic setup. The thesis concludes with an extension of the quadratic hedging approach known as risk-minimization to allow for taxes and expenses.

The defense will also be held as a hybrid defense.

Christian Furrer is inviting you to a scheduled Zoom meeting.

Topic: PhD Defense (Christian Furrer)

Time: Nov 4, 2020 02:00 PM Copenhagen

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 Link to Christian Furrer's thesis will be announced later

Assessment committee:

Professor Thomas Mikosch (chairperson)

University of Copenhagen

Professor Boualem Djehiche

Royal Institute of Technology, Sweden

PhD Matthias Albrecht Fahrenwaldt

Federal Financial Supervisory Authority, Germany


Professor Mogens Steffensen, University of Copenhagen

PhD Kristian Buchardt, PFA Pension

Professor Niels Richard Hansen, University of Copenhagen

Adjunct Professor,  Thomas Møller, AP Pension & University of Copenhagen

PhD Peter Holm Nielsen, PFA Pension