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q-fin.RM2022
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…
q-fin.RM2021
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…
q-fin.RM2020
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…