Multi-state models for evaluating conversion options in life insurance
Pricing of Securities
2017-07-05 v1
Abstract
In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many important aspects that influence the valuation of the option such as the duration problem, the time non-homogeneity and the ageing effect. The value of the conversion option is evaluated after the formal description of this contract.
Cite
@article{arxiv.1707.01028,
title = {Multi-state models for evaluating conversion options in life insurance},
author = {Guglielmo D'Amico and Montserrat Guillen and Raimondo Manca and Filippo Petroni},
journal= {arXiv preprint arXiv:1707.01028},
year = {2017}
}
Comments
Published at http://dx.doi.org/10.15559/17-VMSTA78 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)