Multi-state models for evaluating conversion options in life insurance

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Title:	Multi-state models for evaluating conversion options in life insurance
Author:	D'Amico, Guglielmo; Guillén, Montserrat; Manca, Raimondo; Petroni, Filippo
Other authors:	Universitat de Barcelona
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.
Subject(s):	-Risc (Assegurances) -Assegurances de malaltia -Processos de Markov -Risk (Insurance) -Health insurance -Markov processes
Rights:	cc-by (c) D'Amico, Guglielmo et al., 2017 http://creativecommons.org/licenses/by/3.0/es
Document type:	Article Article - Published version
Published by:	VTeX
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