Next Article in Journal
Optimal Reinsurance with Heterogeneous Reference Probabilities
Previous Article in Journal
Superforecasting: The Art and Science of Prediction. By Philip Tetlock and Dan Gardner
Article Menu

Export Article

Open AccessArticle
Risks 2016, 4(3), 23; doi:10.3390/risks4030023

Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains

1
Department of Mathematics, University of Munich, Theresienstraße 39, 80333 Munich, Germany
2
Department of Mathematics, University of Oslo, Boks 1072 Blindern, Norway
3
Department of Statistics, University of Munich, Akademiestr.1, 80799 Munich, Germany
4
BMW Financial Services, BMW Bank GmbH, 80787 Munich, Germany
*
Author to whom correspondence should be addressed.
Academic Editor: Mogens Steffensen
Received: 21 March 2016 / Revised: 27 May 2016 / Accepted: 27 June 2016 / Published: 7 July 2016
View Full-Text   |   Download PDF [510 KB, uploaded 7 July 2016]   |  

Abstract

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy’s states follows an F -doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at maturity, annuity-type payments and payments at the time of a transition. Based on the intensity of the F -doubly stochastic Markov chain, we provide the Galtchouk-Kunita-Watanabe decomposition for a general insurance contract and specify risk-minimizing strategies in a Brownian financial market setting. The results are further illustrated explicitly within an affine structure for the intensity. View Full-Text
Keywords: insurance liabilities; doubly stochastic Markov chains; risk minimization; MSC; 60J27; 62P05; 91G99; JEL; C02 insurance liabilities; doubly stochastic Markov chains; risk minimization; MSC; 60J27; 62P05; 91G99; JEL; C02
Figures

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Biagini, F.; Groll, A.; Widenmann, J. Risk Minimization for Insurance Products via F-Doubly Stochastic Markov Chains. Risks 2016, 4, 23.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top