Centro de Documentacion de Fundación MAPFRE - Two-dimensional forward and backward transition rates

MAP20240013516

Two-dimensional forward and backward transition rates / Theis Bathke & Marcus C. Christiansen

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

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 15/08/2024 Volumen 14 - Número 2 - agosto 2024 , p.41-436

1. Seguro de vida . 2. Cálculo actuarial . 3. Mortalidad . 4. Contrato de seguro . I. Christiansen, Marcus C. . II. Título.