Related papers: Multi-state models for evaluating conversion optio…
Insurance and annuity products covering several lives require the modelling of the joint distribution of future lifetimes. In the interest of simplifying calculations, it is common in practice to assume that the future lifetimes among a…
A new branch based on Markov processes is developing in the recent literature of financial time series modeling. In this paper, an Indexed Markov Chain has been used to model high frequency price returns of quoted firms. The peculiarity of…
In this study, a two-state Markov switching count-data model is proposed as an alternative to zero-inflated models to account for the preponderance of zeros sometimes observed in transportation count data, such as the number of accidents…
Dependence among multiple lifetimes is a key factor for pricing and evaluating the risk of joint life insurance products. The dependence structure can be exposed to model uncertainty when available data and information are limited. We…
In this paper, we investigate a complex variation of the standard joint life annuity policy by introducing three distinct contingent benefits for the surviving member(s) of a couple, along with a contingent benefit for their beneficiaries…
This paper considers the pricing of equity-linked life insurance contracts with death and survival benefits in a general model with multiple stochastic risk factors: interest rate, equity, volatility, unsystematic and systematic mortality.…
We consider Markov decision processes where the state of the chain is only given at chosen observation times and of a cost. Optimal strategies involve the optimisation of observation times as well as the subsequent action values. We…
The need to model a Markov renewal on-off process with multiple off-states arise in many applications such as economics, physics, and engineering. Characterization of the occupation time of one specific off-state marginally or two…
The insurance model when the amount of claims depends on the state of the insured person (healthy, ill, or dead) and claims are connected in a Markov chain is investigated. The signed compound Poisson approximation is applied to the…
Many problems of practical interest rely on Continuous-time Markov chains~(CTMCs) defined over combinatorial state spaces, rendering the computation of transition probabilities, and hence probabilistic inference, difficult or impossible…
Insurance companies often include very long-term guarantees in participating life insurance products, which can turn out to be very valuable. Under a guaranteed annuity options (G.A.O), the insurer guarantees to convert a policyholder's…
A continuous-time multi-state history is semi-Markovian, if an intensity to migrate from one state into another, depends on the duration in the first state. Such duration can be formalised as covariate, entering the intensity process of the…
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a continuous time and stationary Markov Chain on a finite state space as a model for the underlying of European contingent claims. For this class of processes…
Many applications in medical statistics as well as in other fields can be described by transitions between multiple states (e.g. from health to disease) experienced by individuals over time. In this context, multi-state models are a popular…
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of…
Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate Student-t version of the model as a viable alternative to…
This paper investigates MDPs with intermittent state information. We consider a scenario where the controller perceives the state information of the process via an unreliable communication channel. The transmissions of state information…
Markov Chains with variable length are useful stochastic models for data compression that avoid the curse of dimensionality faced by that full Markov Chains. In this paper we introduce a Variable Length Markov Chain whose transition…
We explicitly test if the reliability of credit ratings depends on the total number of admissible states. We analyse open access credit rating data and show that the effect of the number of states in the dynamical properties of ratings…
A new stochastic method for describing mortality is proposed and explored. It is based on differences of observed times series of the transform $\log(-\log x)$ of survival probabilities which seem to follow simple patterns over the years.…