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math.PR2024
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…
math.ST2024
Bivariate phase-type distributions for experience rating in disability insurance
Christian Furrer, Jacob Juhl Sørensen, Jorge Yslas
In this paper, we consider the problem of experience rating within the classic Markov chain life insurance framework. We begin by establishing a link between mixed Poisson distribu…