2 papers
q-fin.MF2019
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…
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…