most citedMatrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes

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math.PR2019★ 1 cited

Matrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes

Mogens Bladt, Søren Asmussen, Mogens Steffensen

A multi--state life insurance model is naturally described in terms of the intensity matrix of an underlying (time--inhomogeneous) Markov process which describes the dynamics for t…

math.PR2018

Forward transition rates

K. Buchardt, C. Furrer, M. Steffensen

The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalization from the forward mortality rate…