# name
Multi-state models for evaluating conversion options in life insurance

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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.

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Modern Stochastics Theory and Applications, 2017, vol. 4, num. 2, p. 127-139

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cc-by (c) D'Amico, Guglielmo et al., 2017

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Articles publicats en revistes  (Econometria, Estadística i Economia Aplicada)

# metadata.dc.title[].value
Multi-state models for evaluating conversion options in life insurance