Two-dimensional forward and backward transition rates

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<dc:creator>Bathke, Theis </dc:creator>
<dc:creator>Christiansen, Marcus C.</dc:creator>
<dc:date>2024-08-15</dc:date>
<dc:description xml:lang="es">Sumario: Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool for avoiding Markov assumptions in the calculation of life insurance reserves. While life insurance reserves are some form of conditional first-order moments, the calculation of conditional second-order moments needs an extension of the forward transition rate concept from one dimension to two dimensions. Two-dimensional forward transition rates are also needed for the calculation of path-dependent life insurance cash-flows as they occur upon contract modifications. Forward transition rates are designed for doing prospective calculations, and by a time-symmetric definition of so-called backward transition rates one can do retrospective calculations</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/186137.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Seguro de vida</dc:subject>
<dc:subject xml:lang="es">Cálculo actuarial</dc:subject>
<dc:subject xml:lang="es">Mortalidad</dc:subject>
<dc:subject xml:lang="es">Contrato de seguro</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Two-dimensional forward and backward transition rates</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 15/08/2024 Volumen 14 - Número 2 - agosto 2024 , p.41-436</dc:relation>
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