Dependent interest and transition rates in life insurance

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Dependent interest and transition rates in life insurance. / Buchardt, Kristian.

I: Insurance: Mathematics and Economics, Bind 55, 2014, s. 167–179.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Buchardt, K 2014, 'Dependent interest and transition rates in life insurance', Insurance: Mathematics and Economics, bind 55, s. 167–179. https://doi.org/10.1016/j.insmatheco.2014.01.004

APA

Buchardt, K. (2014). Dependent interest and transition rates in life insurance. Insurance: Mathematics and Economics, 55, 167–179. https://doi.org/10.1016/j.insmatheco.2014.01.004

Vancouver

Buchardt K. Dependent interest and transition rates in life insurance. Insurance: Mathematics and Economics. 2014;55:167–179. https://doi.org/10.1016/j.insmatheco.2014.01.004

Author

Buchardt, Kristian. / Dependent interest and transition rates in life insurance. I: Insurance: Mathematics and Economics. 2014 ; Bind 55. s. 167–179.

Bibtex

@article{7ead2a3528bd438ba2cc5b357effb0f6,
title = "Dependent interest and transition rates in life insurance",
abstract = "For market consistent life insurance liabilities modelled with a multi-state Markov chain, it is of importance to consider the interest and transition rates as stochastic processes, for example in order to consider hedging possibilities of the risks, and for risk measurement. In the literature, this is usually done with an assumption of independence between the interest and transition rates. In this paper, it is shown how to valuate life insurance liabilities using affine processes for modelling dependent interest and transition rates. This approach leads to the introduction of so-called dependent forward rates. We propose a specific model for surrender modelling, and within this model the dependent forward rates are calculated, and the market value and the Solvency II capital requirement are examined for a simple savings contract.",
author = "Kristian Buchardt",
year = "2014",
doi = "10.1016/j.insmatheco.2014.01.004",
language = "English",
volume = "55",
pages = "167–179",
journal = "Insurance: Mathematics and Economics",
issn = "0167-6687",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Dependent interest and transition rates in life insurance

AU - Buchardt, Kristian

PY - 2014

Y1 - 2014

N2 - For market consistent life insurance liabilities modelled with a multi-state Markov chain, it is of importance to consider the interest and transition rates as stochastic processes, for example in order to consider hedging possibilities of the risks, and for risk measurement. In the literature, this is usually done with an assumption of independence between the interest and transition rates. In this paper, it is shown how to valuate life insurance liabilities using affine processes for modelling dependent interest and transition rates. This approach leads to the introduction of so-called dependent forward rates. We propose a specific model for surrender modelling, and within this model the dependent forward rates are calculated, and the market value and the Solvency II capital requirement are examined for a simple savings contract.

AB - For market consistent life insurance liabilities modelled with a multi-state Markov chain, it is of importance to consider the interest and transition rates as stochastic processes, for example in order to consider hedging possibilities of the risks, and for risk measurement. In the literature, this is usually done with an assumption of independence between the interest and transition rates. In this paper, it is shown how to valuate life insurance liabilities using affine processes for modelling dependent interest and transition rates. This approach leads to the introduction of so-called dependent forward rates. We propose a specific model for surrender modelling, and within this model the dependent forward rates are calculated, and the market value and the Solvency II capital requirement are examined for a simple savings contract.

U2 - 10.1016/j.insmatheco.2014.01.004

DO - 10.1016/j.insmatheco.2014.01.004

M3 - Journal article

VL - 55

SP - 167

EP - 179

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

ER -

ID: 137754523