• Corpus ID: 251041084

Phase-type representations of stochastic interest rates with applications to life insurance

@inproceedings{Ahmad2022PhasetypeRO,
  title={Phase-type representations of stochastic interest rates with applications to life insurance},
  author={Jamaal Ahmad and Mogens Bladt},
  year={2022}
}
. 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 payments and equivalence premiums can be obtained as explicit formulas in terms of product integrals or matrix exponentials. To this end we consider the Markovian interest model, where the rates are piecewise deterministic (or even constant) in the different states of a Markov jump process, and which is shown to… 

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