Scaled insurance cash flows: representation and computation via change of measure techniques
Research output: Contribution to journal › Journal article › Research › peer-review
We consider general multi-state life insurance payment processes and study the expected accumulated cash flows that arise when modifying the payments by scaling factors depending on the time of occurrence of specific events. Such modified payment processes arise naturally in the context of incidental policyholder behaviour. We associate to the modifications new probability measures which allow a standard representation of the expected accumulated cash flows. The measures are characterised in terms of the original measure and the scaling factors. Examples for Markov chains illuminate the relevance of our concepts and results to actuarial practice.
Original language | English |
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Journal | Finance and Stochastics |
Volume | 26 |
Pages (from-to) | 359–382 |
ISSN | 0949-2984 |
DOIs | |
Publication status | Published - 2022 |
Bibliographical note
Publisher Copyright:
© 2022, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.
- Föllmer measures, Incidental policyholder behaviour, Jump processes, Multi-state life insurance
Research areas
ID: 297606487