TY - JOUR

T1 - Scaled insurance cash flows

T2 - representation and computation via change of measure techniques

AU - Furrer, Christian

N1 - Publisher Copyright: © 2022, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.

PY - 2022

Y1 - 2022

N2 - 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.

AB - 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.

KW - Föllmer measures

KW - Incidental policyholder behaviour

KW - Jump processes

KW - Multi-state life insurance

UR - http://www.scopus.com/inward/record.url?scp=85124277493&partnerID=8YFLogxK

U2 - 10.1007/s00780-022-00472-z

DO - 10.1007/s00780-022-00472-z

M3 - Journal article

AN - SCOPUS:85124277493

VL - 26

SP - 359

EP - 382

JO - Finance and Stochastics

JF - Finance and Stochastics

SN - 0949-2984

ER -