Marcus Christian Christiansen

Heriot-Watt University

Associate Professor

Riccarton

Edinburgh EH14 4AS, Scotland EH14 1AS

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

331

CITATIONS

3

Scholarly Papers (6)

1.

Stress Scenario Generation for Solvency and Risk Management

Number of pages: 25 Posted: 30 Mar 2014
Heriot-Watt University, University of Copenhagen, Edlund A/S and University of Copenhagen
Downloads 155 (187,754)

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Life insurance, worst-case scenario, deterministic control, Solvency II, multi-state Markov chain

2.

Around the Life-Cycle: Deterministic Consumption-Investment Strategies

Number of pages: 23 Posted: 21 Mar 2014 Last Revised: 20 Oct 2016
Marcus Christian Christiansen and Mogens Steffensen
Heriot-Watt University and University of Copenhagen
Downloads 104 (254,897)
Citation 4

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power utility optimization; defined contribution; deterministic control; Black-Scholes market; Pontryagin's maximum principle; suboptimal strategies

3.

Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts

Number of pages: 14 Posted: 05 Mar 2014
Marcus Christian Christiansen, Michel Denuit and Jan Dhaene
Heriot-Watt University, Catholic University of Louvain and Katholieke Universiteit Leuven
Downloads 37 (430,936)
Citation 2

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life insurance, multistate models, Markov process, surrender value, Cantelli theorem

4.

Mortality Projections for Non-Converging Groups of Populations

Number of pages: 29 Posted: 28 Jun 2016
Lukas Hahn and Marcus Christian Christiansen
University of Ulm - Institute of Insurance Science and Heriot-Watt University
Downloads 35 (439,118)
Citation 1

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multi-population mortality forecasting, heterogeneous collection of populations, extended Cairns-Blake-Dowd model, Vector Error Correction model, Bayesian estimation, Markov chain Monte Carlo

5.

Who is Changing Health Insurance Coverage? Empirical Evidence on Policyholder Dynamics

Journal of Risk and Insurance, Vol. 83, Issue 2, pp. 269-300, 2016
Number of pages: 31 Posted: 23 May 2016
Marcus Christian Christiansen, Martin Eling, Jan‐Philipp Schmidt and Lorenz Zirkelbach
Heriot-Watt University, University of St. Gallen - Institute of Insurance Economics, University of Ulm - Institute of Insurance Science and University of Ulm - Institute of Insurance Science
Downloads 0 (661,222)
Citation 4
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6.

Safe-Side Scenarios for Financial and Biometrical Risk

Christiansen, M.C. and M. Steffensen, 2013. Safe-side scenarios for financial and biometrical risk. ASTIN Bulletin 43/3, 323-357.
Posted: 12 Jan 2011 Last Revised: 28 Sep 2015
Marcus Christian Christiansen and Mogens Steffensen
Heriot-Watt University and University of Copenhagen

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Worst case scenarios, Interest and transition rates, Dependence, First order basis, Capital requirement