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June 2016 Continuous affine processes: transformations, Markov chains and life insurance
Kristian Buchardt
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Adv. in Appl. Probab. 48(2): 423-442 (June 2016).

Abstract

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.

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Kristian Buchardt. "Continuous affine processes: transformations, Markov chains and life insurance." Adv. in Appl. Probab. 48 (2) 423 - 442, June 2016.

Information

Published: June 2016
First available in Project Euclid: 9 June 2016

zbMATH: 06606993
MathSciNet: MR3511769

Subjects:
Primary: 97M30
Secondary: 60J60 , 91G30 , 91G40

Keywords: credit risk , Doubly stochastic process , multi-state life insurance models , stochastic interest , stochastic mortality

Rights: Copyright © 2016 Applied Probability Trust

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Vol.48 • No. 2 • June 2016
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