10 papers
Loss of earning capacity in Denmark -- an actuarial perspective
C. Furrer, O. L. Sandqvist
We describe challenges and opportunities related to risk assessment and mitigation for loss of earning capacity insurance with a special focus on Denmark. The presence of public be…
Non-parametric estimators of scaled cash flows
T. Bathke, C. Furrer
In multi-state life insurance, incidental policyholder behavior gives rise to expected cash flows that are not easily targeted by classic non-parametric estimators if data is subje…
Conditional Aalen--Johansen estimation
Martin Bladt, Christian Furrer
The conditional Aalen--Johansen estimator, a general-purpose non-parametric estimator of conditional state occupation probabilities, is introduced. The estimator is applicable for…
Aggregate Markov models in life insurance: properties and valuation
Jamaal Ahmad, Mogens Bladt, Christian Furrer
In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain t…
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…
Expert Kaplan--Meier estimation
Martin Bladt, Christian Furrer
The setting of a right-censored random sample subject to contamination is considered. In various fields, expert information is often available and used to overcome the contaminatio…
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…
Dynamics of state-wise prospective reserves in the presence of non-monotone information
Marcus C. Christiansen, Christian Furrer
In the presence of monotone information, the stochastic Thiele equation describing the dynamics of state-wise prospective reserves is closely related to the classic martingale repr…
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…