Hattendorff's theorem for a continuous-time Markov model
Publication:3780325
DOI10.1080/03461238.1987.10413825zbMath0639.62091OpenAlexW2006022136MaRDI QIDQ3780325
Publication date: 1987
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1987.10413825
Hattendorff's theoremThiele's differential equationindividual risk theorypremium reservesaggregate loss functionsdiscounted value of random losseslife policysingle-year loss functionssquared discounted sum at riskvariance of the loss function
Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on discrete state spaces (60J27)
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