1 citations · 1 across the 4 of their papers we have counts for
6 papers
Aggregate Markov models in life insurance: estimation via the EM algorithm
Jamaal Ahmad, Mogens Bladt
In this paper, we consider statistical estimation of time-inhomogeneous aggregate Markov models. Unaggregated models, which corresponds to Markov chains, are commonly used in multi…
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…
Estimating absorption time distributions of general Markov jump processes
Jamaal Ahmad, Martin Bladt, Mogens Bladt
The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous…
Phase-type representations of stochastic interest rates with applications to life insurance
Jamaal Ahmad, Mogens Bladt
The purpose of the present paper is to incorporate stochastic interest rates into a matrix-approach to multi-state life insurance, where formulas for reserves, moments of future pa…
Multivariate higher order moments in multi-state life insurance
Jamaal Ahmad
It is well-known that combining life annuities and death benefits introduce opposite effects in payments with respect to the mortality risk on the lifetime of the insured. In a gen…
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…