Scaled insurance cash flows: representation and computation via change of measure techniques
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Scaled insurance cash flows : representation and computation via change of measure techniques. / Furrer, Christian.
I: Finance and Stochastics, Bind 26, 2022, s. 359–382.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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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 -
ID: 297606487