Publikationen /Publications
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Publikationen /Publications
Current Working Papers
- Junike, G., Stier, H., Christiansen, M.C., 2024. Profit and loss decomposition in continuous time and approximations. [Link]
- Christiansen, M.C., Furrer, C., 2024. Canonical insurance models: stochastic equations and comparison theorems. [Link]
- Christiansen, M.C., Djehiche, B., 2024. As-If-Markov Reserves for Reserve-Dependent Payments. [Link]
- Christiansen, M.C., Junike, G., 2024. Time-dynamic Shapley-Shubik decomposition and applications.
Christiansen, M.C., 2023. Axiomatic characterization of pointwise Shapley decompositions. [Link]
Publications in Journals
- Bathke, T., Christiansen, M.C., 2024. Two-dimensional forward and backward transition rates. European Actuarial Journal 14, 411–436. [Link]
- Christiansen, M.C., 2023. On the decomposition of an insurer's profits and losses. Scandinavian Actuarial Journal 1, 51-70. [Link]
- Christiansen, M.C., Furrer. C., 2022. Extension of as-if-Markov modeling to scaled payments. Insurance: Mathematics & Economics 107, 288-306. [Link] [Corrigendum]
- Jetses, J., Christiansen, M.C., 2022. A general surplus decomposition principle in life insurance. Scandinavian Actuarial Journal 10, 901-925. [Link]
- Christiansen, M.C., 2021. Time-dynamic evaluations under non-monotone information generated by marked point processes. Finance and Stochastics 25/3, 563-596. [Link]
- Christiansen, M.C., 2021. On the calculation of prospective and retrospective reserves in non-Markov models. European Actuarial Journal 11/2, 441-462. [Link]
- Christiansen, M.C., Furrer, C., 2021. Dynamics of state-wise prospective reserves in the presence of non-monotone information. Insurance: Mathematics and Economics 97, 81-98. [Link]
- Schilling, K., Bauer, D., Christiansen, M.C., Kling, A., 2020. Decomposing Dynamic Risks into Risk Components. Management Science 66/12, 5485-6064. [Link]
- Christiansen, M.C., Djehiche, B., 2020. Nonlinear reserving and multiple contract modifications in life insurance. Insurance: Mathematics and Economics 93, 187-195. [Link] [Corrigendum]
- Adékambi, F., Christiansen, M., 2020. Probability Distributions of Multi-States Insurance Models under Semi-Markov Assumptions. Markov Processes and Related Fields 26/3, 517-534.
- Hahn, L., Christiansen, M.C., 2019. Mortality projections for non-converging groups of populations. European Actuarial Journal 9/2, 483-518. [Link]
- Ungolo, F., Christiansen, M.C., Kleinow, T., MacDonald, A.S., 2019. Survival analysis of pension scheme mortality when data are missing. Scandinavian Actuarial Journal 6, 523-547. [Link]
- Christiansen, M.C., Denuit, M.M., Lucas, N., and J.-P. Schmidt, 2018. Projection models for health expenses. Annals of Actuarial Science 12/1, 185-203. [Link]
- Christiansen, M.C. and M. Steffensen, 2018. Around the Life-Cycle: Deterministic Consumption-Investment Strategies. North Amercian Actuarial Journal 22/3, 491-507. [Link]
- Adekambi, F. and M.C. Christiansen, 2017. Integral and differential equations for the moments of multistate models in health insurance. Scandinavian Actuarial Journal 1, 29-50. [Link]
- Christiansen, M.C. and E. Schinzinger, 2016. A credibility approach for combining likelihoods of generalized linear models. ASTIN Bulletin, 46/3, 531-569. [Link]
- Schinzinger, E., Denuit, M.M., and M.C. Christiansen, 2016. A multivariate evolutionary credibility model for mortality improvement rates. Insurance: Mathematics and Economics 69, 70-81. [Link]
- Christiansen, M.C., Eling, M., Schmidt, J.-P., and L. Zirkelbach, 2016. Who is changing health insurance coverage? Empirical evidence on policyholder dynamics. Journal of Risk and Insurance, 83/2, 269-300. [Link]
- Christiansen, M.C. and M.A. Fahrenwaldt, 2016. Dynamics of solvency risk in life insurance liabilities. Scandinavian Actuarial Journal, 9, 763-792. [Link]
- Christiansen, M.C., Henriksen, L.F.B., Schomacker, K.J. and M. Steffensen, 2016. Stress Scenario Generation for Solvency and Risk Management. Scandinavian Actuarial Journal 6, 502-529. [Link]
- Christiansen, M.C., Spodarev, E. and V. Unseld, 2015. Differences in European Mortality Rates: A Geometric Approach on the Age-Period Plane. ASTIN Bulletin 45/3, 477-502. [Link]
- Christiansen, M.C., Niemeyer, A. and L. Teigiszerova, 2015. Modeling and forecasting duration-dependent mortality rates. Computational Statistics and Data Analysis 83, 65-81. [Link]
- Christiansen, M.C. and A. Niemeyer, 2015. On the forward rate concept in multi-state life insurance. Finance and Stochastics 19/2, 295-327. [Link]
- Christiansen, M.C., Hirsch, C., and V. Schmidt, 2014. Prediction of regionalized insurance risks based on control variates. Statistics & Risk Modeling 31/2, 163-181. [Link]
- Christiansen, M.C., Denuit, M.M. and J. Dhaene, 2014. Reserve-dependent benefits and costs in life and health insurance contracts. Insurance: Mathematics and Economics 57, 132-137. [Link]
- Christiansen, M.C. and A. Niemeyer, 2014. The fundamental definition of the Solvency Capital Requirement in Solvency II. ASTIN Bulletin, 44/3, 501-533. [Link]
- Christiansen, M.C. and N. Loperfido, 2014. Improved approximation of the sum of random vectors by the skew-normal distribution. Journal of Applied Probability 51/2, 466-482. [Link]
- Christiansen, M.C., 2013. Gaussian and linear approximation of stochastic diffusion models for interest and mortality rates. Risks 1, 81-100. [Link]
- Christiansen, M.C., 2013. Safety margins for unsystematic biometric risk in life and health insurance. Scandinavian Actuarial Journal 4, 286-323. [Link]
- Christiansen, M.C. and M. Steffensen, 2013. Safe-side scenarios for financial and biometrical risk. ASTIN Bulletin 43/3, 323-357. [Link]
- Christiansen, M.C. and M. Steffensen, 2013. Deterministic mean-variance-optimal consumption and investment. Stochastics 85/4, 620-636. [Link]
- Christiansen, M.C., Denuit, M.M., 2013. Worst-case actuarial calculations consistent with single- and multiple-decrement life tables. Insurance: Mathematics and Economics 52/1, 1-5. [Link]
- Christiansen, M.C., 2012. Multistate models in health insurance. Advances in Statistical Analysis 96, 155-186. [Link]
- Christiansen, M.C., Denuit, M.M., Lazar, D., 2012. The Solvency II square-root formula for systematic biometric risk. Insurance: Mathematics and Economics 50/2, 257-265. [Link]
- Christiansen, M.C., Denuit, M.M., 2010. First-order mortality rates and safe-side actuarial calculations in life insurance. ASTIN Bulletin 40/2, 587-614. [Link]
- Christiansen, M.C., 2010. Biometric worst-case scenarios for multi-state life insurance policies. Insurance: Mathematics and Economics 47, 190-197. [Link]
- Christiansen, M.C., 2008. A sensitivity analysis of typical life insurance contracts with respect to the technical basis. Insurance: Mathematics and Economics 42/2, 787-796. [Link]
- Christiansen, M.C., 2008. A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension. Insurance: Mathematics and Economics 42/2, 680-690. [Link]
- Christiansen, M.C., Helwich, M., 2008. Some further ideas concerning the interaction between insurance and investment risks. Blaetter der DGVFM 29/2, 253-266. [Link]
Publications in Proceedings
- Christiansen, M.C., 2015. A variational approach for mean-variance-optimal deterministic consumption and investment. In: Innovations in Quantitative Risk Management. K. Glau, M. Scherer, R. Zagst (eds.), Springer Proceedings in Mathematics & Statistics 99, 225-238. [Link]
- Christiansen, M.C., 2011. Making use of netting effects when composing life insurance contracts. European Actuarial Journal 1 (Suppl. 1), 47-60. [Link]
- Christiansen, M.C., 2007. Vergleich von oekonomischen und biometrischen Risiken in der Personenversicherung. Zeitschrift fuer die gesamte Versicherungswissenschaft, Supplement 2007, 197-205. [Link]
Interdisciplinary Publications
- Christiansen, M., Schmidt, J.P., Shkel, D., Kaluscha, R., Tepohl, L., and G. Krischak, 2017. Eine Fortschreibung des Rehabilitationsbedarfs in Deutschland bis 2040 anhand demografischer Faktoren. Gesundheitswesen 80/05, 489-494. [Link]
- Klenk, J., Keil, U., Jaensch, A., Christiansen, M.C., and G. Nagel, 2016. Changes in life expectancy 1950-2010: contributions from age- and disease-specific mortality in selected countries. Population Health Metrics 14/20, 1-11. [Link]
Preprints
Doctoral thesis
- A joint analysis of financial and biometrical risks in life insurance. University of Rostock. Referees: Prof. Dr. Hartmut Milbrodt, Prof. Dr. Holger Drees, PD Dr. Ulrich Orbanz. [Link]