Scaled insurance cash flows: representation and computation via change of measure techniques
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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.
| Originalsprog | Engelsk |
|---|---|
| Tidsskrift | Finance and Stochastics |
| Vol/bind | 26 |
| Sider (fra-til) | 359–382 |
| ISSN | 0949-2984 |
| DOI | |
| Status | Udgivet - 2022 |
Bibliografisk note
Funding Information:
The paper is partly based on Chap. 4 in the PhD Thesis of the author, i.e. [, Chap. 4], and the author has carried out significant parts of the research presented in this paper while employed as an Industrial PhD student at PFA Pension with funding from the Innovation Fund Denmark under File No. 7038-00007B. He is grateful to Kristian Buchardt for commentary on an early manuscript, and he would also like to thank both Martin Jacobsen for fruitful discussions and suggestions concerning Lemma as well as the Editor, the Associate Editor and the referees for comments and suggestions that helped improve the paper.
Publisher Copyright:
© 2022, The Author(s), under exclusive licence to Springer-Verlag GmbH Germany, part of Springer Nature.
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