Colloque / Séminaire

SEMINAIRE LABO - Patrick LAUB, Post Doctoral student at Chair DAMI

Phase-Type Models in Life Insurance

In this talk I will describe ongoing work with Professors Søren Asmussen and Hailiang Yang. Our results can be used to value equity-linked insurance products, such as the Guaranteed Minimum Death Benefit or the High Water Benefit. We model the insured's age at death as phase-type distributed. I will outline some benefits of incorporating this distribution into our models, and I'll describe the computational challenges of fitting a phase-type model to a life table (we use an EM algorithm and the Julia programming language). As I have only recently arrived in Lyon from Australia (Brisbane), I will also use this seminar to talk a little about my background (with a few photos of kangaroos/koalas thrown in for fun).

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