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http://hdl.handle.net/2445/120660| Title: | Multi-state models for evaluating conversion options in life insurance |
| Author: | D'Amico, Guglielmo Guillén, Montserrat Manca, Raimondo Petroni, Filippo |
| Keywords: | Risc (Assegurances) Assegurances de malaltia Processos de Markov Risk (Insurance) Health insurance Markov processes |
| Issue Date: | 2017 |
| Publisher: | VTeX |
| Abstract: | In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many important aspects that influence the valuation of the option such as the duration problem, the time non-homogeneity and the ageing effect. The value of the conversion option is evaluated after the formal description of this contract. |
| Note: | Reproducció del document publicat a: https://doi.org/10.15559/17-VMSTA78 |
| It is part of: | Modern Stochastics Theory and Applications, 2017, vol. 4, num. 2, p. 127-139 |
| URI: | http://hdl.handle.net/2445/120660 |
| Related resource: | https://doi.org/10.15559/17-VMSTA78 |
| ISSN: | 2351-6054 |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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|---|---|---|---|---|
| 676956.pdf | 152.44 kB | Adobe PDF | View/Open |
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