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Christian Furrer: Change of measure techniques for scaled insurance cash flows

Time: Mon 2022-12-12 15.15 - 16.15

Location: KTH 3721 (Lindstedtsvägen. 25)

Participating: Christian Furrer, University of Copenhagen

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Incidental policyholder behavior, including free policy conversion and stochastic retirement, may have a significant impact on the market value of a life insurance contract; consequently, models should account for this. However, the inclusion of incidental policyholder behavior typically leads to duration effects and thus an increase in computational complexity. In this talk, I show how change of measure techniques à la Föllmer can be used to conveniently deal with this added layer of complication.