Forward transition rates

Research output: Contribution to journalJournal articleResearchpeer-review

The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalisation from the forward mortality rate in a survival model to multi-state models is non-trivial and several definitions have been proposed. We establish a theoretical framework for the discussion of forward rates. Furthermore, we provide a novel definition with its own logic and merits and compare it with the proposals in the literature. The definition turns the Kolmogorov forward equations inside out by interchanging the transition probabilities with the transition intensities as the object to be calculated.

Original languageEnglish
JournalFinance and Stochastics
Issue number4
Pages (from-to)975-999
Number of pages25
Publication statusPublished - 2019

    Research areas

  • Doubly stochastic Markov models, Forward rates, Kolmogorov forward equations, Life insurance

ID: 230390128