Continuous affine processes: Transformations, Markov chains and life insurance

Publikation: Bidrag til tidsskriftTidsskriftartikelfagfællebedømt

  • Kristian Buchardt

Affine processes possess the property that expectations of exponential affine transformations are given by a set of Riccati differential equations, which is the main feature of this popular class of processes. In this paper we generalise these results for expectations of more general transformations. This is of interest in, e.g. doubly stochastic Markov models, in particular in life insurance. When using affine processes for modelling the transition rates and interest rate, the results presented allow for easy calculation of transition probabilities and expected present values.

OriginalsprogEngelsk
TidsskriftAdvances in Applied Probability
Vol/bind48
Udgave nummer2
Sider (fra-til)423-442
Antal sider20
ISSN0001-8678
DOI
StatusUdgivet - 1 jun. 2016

ID: 178792894