论文标题
二维前向和向后过渡率
Two-dimensional forward and backward transition rates
论文作者
论文摘要
最初引入远期过渡率，目的是以市场为准评估人寿保险责任。虽然这个想法有局限性，但最近的文献将前向过渡率重新调整为避免马尔可夫假设的工具，以计算人寿保险储备。虽然人寿保护储量是某种形式的有条件的一阶时刻，但有条件的二阶矩计算需要将远期过渡速率概念从一个维度延伸到二维。在合同修改时发生二维远期过渡率也需要依赖路径依赖的人寿保险现金流。远期过渡率设计用于进行前瞻性计算，并且通过对所谓的向后转变率的时间对称定义，可以进行回顾性计算。
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.
