Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes
David Baños, Erik Bølviken, Sindre Duedahl and Frank Proske
| Year of publication: |
2020
|
|---|---|
| Authors: | Baños, David ; Bølviken, Erik ; Duedahl, Sindre ; Proske, Frank |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2020.2020, 1, p. 44-83
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| Subject: | Lévy processes | Life insurance | non-linear filtering | stochastic transition rates | Lebensversicherung | Stochastischer Prozess | Stochastic process | Theorie | Theory | Markov-Kette | Markov chain | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1636858 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012195019