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https://hdl.handle.net/2445/120660Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | D'Amico, Guglielmo | - |
| dc.contributor.author | Guillén, Montserrat | - |
| dc.contributor.author | Manca, Raimondo | - |
| dc.contributor.author | Petroni, Filippo | - |
| dc.date.accessioned | 2018-03-13T12:19:43Z | - |
| dc.date.available | 2018-03-13T12:19:43Z | - |
| dc.date.issued | 2017 | - |
| dc.identifier.issn | 2351-6054 | - |
| dc.identifier.uri | https://hdl.handle.net/2445/120660 | - |
| dc.description.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. | - |
| dc.format.extent | 13 p. | - |
| dc.format.mimetype | application/pdf | - |
| dc.language.iso | eng | - |
| dc.publisher | VTeX | - |
| dc.relation.isformatof | Reproducció del document publicat a: https://doi.org/10.15559/17-VMSTA78 | - |
| dc.relation.ispartof | Modern Stochastics Theory and Applications, 2017, vol. 4, num. 2, p. 127-139 | - |
| dc.relation.uri | https://doi.org/10.15559/17-VMSTA78 | - |
| dc.rights | cc-by (c) D'Amico, Guglielmo et al., 2017 | - |
| dc.rights.uri | http://creativecommons.org/licenses/by/3.0/es | - |
| dc.source | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | - |
| dc.subject.classification | Risc (Assegurances) | - |
| dc.subject.classification | Assegurances de malaltia | - |
| dc.subject.classification | Processos de Markov | - |
| dc.subject.other | Risk (Insurance) | - |
| dc.subject.other | Health insurance | - |
| dc.subject.other | Markov processes | - |
| dc.title | Multi-state models for evaluating conversion options in life insurance | - |
| dc.type | info:eu-repo/semantics/article | - |
| dc.type | info:eu-repo/semantics/publishedVersion | - |
| dc.identifier.idgrec | 676956 | - |
| dc.date.updated | 2018-03-13T12:19:43Z | - |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | - |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 676956.pdf | 152.44 kB | Adobe PDF | View/Open |
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