Matrix Representations of Life Insurance Payments (Gauss Prize 2020)

uploaded November 2, 2022 Views: 152 Comments: 0 Favorite: 1 CPD

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Outline of talk:

1. Time-inhomogeneous phase-type distributions (IPH) and their use for fitting heavy-tailed claims data or light-tailed life-times.

2. Stochastic interest rate models and fitting PH distributions to bond prices.

3. Incorporation of stochastic interest rates into multi-state Markov models using a matrix approach.

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Categories: LIFE

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