Media Change of measure techniques for scaled insurance cash flows

Change of measure techniques for scaled insurance cash flows

uploaded July 15, 2021 Views: 17 Comments: 0 Marked favorite: 0
Speakers: 
Description:

Incidental policyholder behavior, including free policy conversion and stochastic retirement, may have a significant impact on the market value of a life insurance contract; consequently, models should account for these effects. However, the inclusion of incidental policyholder behavior typically leads to duration effects and thus an increase in computational complexity. In this talk, we show how change of measure techniques can be used to conveniently deal with this added layer of complexity.

Tags:
Categories: LIFE
Content groups:  content2021

0 Comments

There are no comments yet. Add a comment.