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20142024
most citedSimple simulation of diffusion bridges with application to likelihood inference for diffusions

58 citations · 76 across the 12 of their papers we have counts for

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q-fin.RM2022

Phase-type representations of stochastic interest rates with applications to life insurance

Jamaal Ahmad, Mogens Bladt

The purpose of the present paper is to incorporate stochastic interest rates into a matrix-approach to multi-state life insurance, where formulas for reserves, moments of future pa…