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Finance and Stochastics

Erschienen in:

11.06.2019

Forward transition rates

verfasst von: Kristian Buchardt, Christian Furrer, Mogens Steffensen

Erschienen in: Finance and Stochastics | Ausgabe 4/2019

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Abstract

The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalisation from the forward mortality rate in a survival model to multi-state models is non-trivial and several definitions have been proposed. We establish a theoretical framework for the discussion of forward rates. Furthermore, we provide a novel definition with its own logic and merits and compare it with the proposals in the literature. The definition turns the Kolmogorov forward equations inside out by interchanging the transition probabilities with the transition intensities as the object to be calculated.

Vorheriger Artikel Risk sharing for capital requirements with multidimensional security markets

Nächster Artikel An application of fractional differential equations to risk theory

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Titel: Forward transition rates
verfasst von: Kristian Buchardt
Christian Furrer
Mogens Steffensen
Publikationsdatum: 11.06.2019
Verlag: Springer Berlin Heidelberg
Erschienen in: Finance and Stochastics / Ausgabe 4/2019
Print ISSN: 0949-2984
Elektronische ISSN: 1432-1122
DOI: https://doi.org/10.1007/s00780-019-00397-0

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