9 citations · 11 across the 10 of their papers we have counts for
11 papers
Payment Process Estimation in Aggregated Insurance Models
Martin Bladt, Marcus Christiansen
Insurance payments may depend on latent micro states although only macro states and realized payments are observed. We study a sojourn-payment model for such aggregated multi-state…
How the interpolation of life tables affects the decomposition of life insurance surplus
Mintodê Nicodème Atchadé, Marcus C. Christiansen, Friedrich Hubalek +1
The surplus of a life insurance policy depends on both systematic changes in mortality risk and financial changes. We propose to decompose the surplus by the axiomatically justifie…
Canonical insurance models: stochastic equations and comparison theorems
Marcus C. Christiansen, Christian Furrer
Thiele's differential equation explains the change in prospective reserve and plays a fundamental role in safe-side calculations and other types of actuarial model comparisons. Thi…
Axiomatic characterization of pointwise Shapley decompositions
Marcus C Christiansen
A common problem in various applications is the additive decomposition of the output of a function with respect to its input variables. Functions with binary arguments can be axiom…
Profit and loss decomposition in continuous time and approximations
Gero Junike, Hauke Stier, Marcus C. Christiansen
Financial institutions and insurance companies that analyze the evolution and sources of profits and losses often look at risk factors only at discrete reporting dates, ignoring th…
Two-dimensional forward and backward transition rates
Theis Bathke, Marcus Christiansen
Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, rec…
On the decomposition of an insurer's profits and losses
Marcus C. Christiansen
Current reporting standards for insurers require a decomposition of observed profits and losses in such a way that changes in the insurer's balance sheet can be attributed to speci…
A General Surplus Decomposition Principle in Life Insurance
Julian Jetses, Marcus C. Christiansen
In with-profit life insurance, the prudent valuation of future insurance liabilities leads to systematic surplus that mainly belongs to the policyholders and is redistributed as bo…
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…
Nonlinear reserving and multiple contract modifications in life insurance
Marcus C. Christiansen, Boualem Djehiche
Life insurance cash flows become reserve dependent when contract conditions are modified during the contract term on condition that actuarial equivalence is maintained. As a result…
A martingale concept for non-monotone information in a jump process framework
Marcus C. Christiansen
The information dynamics in finance and insurance applications is usually modeled by a filtration. This paper looks at situations where information restrictions apply such that the…