4 papers
Transaction time models in multi-state life insurance
Kristian Buchardt, Christian Furrer, Oliver Lunding Sandqvist
In life insurance contracts, benefits and premiums are typically paid contingent on the biometric state of the insured. Due to delays between the occurrence, reporting, and settlem…
Computation of bonus in multi-state life insurance
Jamaal Ahmad, Kristian Buchardt, Christian Furrer
We consider computation of market values of bonus payments in multi-state with-profit life insurance. The bonus scheme consists of additional benefits bought according to a dividen…
Tax- and expense-modified risk-minimization for insurance payment processes
Kristian Buchardt, Christian Furrer, Thomas Møller
We study the problem of determining risk-minimizing investment strategies for insurance payment processes in the presence of taxes and expenses. We consider the situation where tax…
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…