Two-dimensional forward and backward transition rates

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<title>Two-dimensional forward and backward transition rates</title>
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<namePart>Bathke, Theis </namePart>
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<namePart>Christiansen, Marcus C.</namePart>
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<abstract displayLabel="Summary">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</abstract>
<note type="statement of responsibility">Theis Bathke & Marcus C. Christiansen</note>
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<topic>Seguro de vida</topic>
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<topic>Cálculo actuarial</topic>
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<topic>Mortalidad</topic>
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<topic>Contrato de seguro</topic>
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<url displayLabel="electronic resource" usage="primary display">https://link.springer.com/article/10.1007/s13385-023-00363-3</url>
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<title>European Actuarial Journal</title>
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<publisher>Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022</publisher>
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<text>15/08/2024 Volumen 14 - Número 2 - agosto 2024 , p.41-436</text>
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