Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/318297 
Year of Publication: 
2023
Citation: 
[Journal:] European Actuarial Journal [ISSN:] 2190-9741 [Volume:] 14 [Issue:] 2 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2023 [Pages:] 411-436
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
Forward transition rates were originally introduced with the aim to evaluate life insurance liabilities market-consistently. While this idea turned out to have its limitations, recent literature repurposes forward transition rates as a tool for avoiding Markov assumptions in the calculation of life insurance reserves. While life insurance reserves are some form of conditional first-order moments, the calculation of conditional second-order moments needs an extension of the forward transition rate concept from one dimension to two dimensions. Two-dimensional forward transition rates are also needed for the calculation of path-dependent life insurance cash-flows as they occur upon contract modifications. Forward transition rates are designed for doing prospective calculations, and by a time-symmetric definition of so-called backward transition rates one can do retrospective calculations.
Subjects: 
Life & health insurance
Non-Markov modelling
Prospective & retrospective reserves
Second-order moments
Free-policy option
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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