Continuous affine processes: Transformations, Markov chains and life insurance
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Continuous affine processes : Transformations, Markov chains and life insurance. / Buchardt, Kristian.
I: Advances in Applied Probability, Bind 48, Nr. 2, 01.06.2016, s. 423-442.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - Continuous affine processes
T2 - Transformations, Markov chains and life insurance
AU - Buchardt, Kristian
PY - 2016/6/1
Y1 - 2016/6/1
N2 - 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.
AB - 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.
KW - Credit risk
KW - Doubly stochastic process
KW - Multi-state life insurance models
KW - Stochastic interest
KW - Stochastic mortality
UR - http://www.scopus.com/inward/record.url?scp=84976448998&partnerID=8YFLogxK
U2 - 10.1017/apr.2016.8
DO - 10.1017/apr.2016.8
M3 - Journal article
AN - SCOPUS:84976448998
VL - 48
SP - 423
EP - 442
JO - Advances in Applied Probability
JF - Advances in Applied Probability
SN - 0001-8678
IS - 2
ER -
ID: 178792894