2 papers
q-fin.GN2020
The Thermodynamic Approach to Whole-Life Insurance: A Method for Evaluation of Surrender Risk
Jirô Akahori, Yuuki Ida, Maho Nishida +1
We introduce a collective model for life insurance where the heterogeneity of each insured, including the health state, is modeled by a diffusion process. This model is influenced…
q-fin.CP2017
Towards the Exact Simulation Using Hyperbolic Brownian Motion
Yuuki Ida, Yuri Imamura
In the present paper, an expansion of the transition density of Hyperbolic Brownian motion with drift is given, which is potentially useful for pricing and hedging of options under…