1 citations · 1 across the 1 of their papers we have counts for
2 papers
q-fin.GN2022★ 1 cited
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…
math.PR2020
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…