Thiele's differential equation with stochastic interest of diffusion type

DOI10.1080/03461238.1996.10413961zbMath0845.62077WikidataQ115297927 ScholiaQ115297927MaRDI QIDQ4881685

Ragnar Norberg, Christian Max Møller

Publication date: 11 June 1996

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1996.10413961

zbMATH Keywords

life insurance; reserves; stochastic discounting; Thiele's differential equation; counting process driven payments; diffusion driven stochastic interest

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

Related Items

Ragnar Norberg (1945–2017): an actuary of a unique kind, Markov models and Thiele's integral equations for the prospective reserve, Unnamed Item, Stochastic interest rate in life insurance: The principle of equivalence revisited

Cites Work

• Unnamed Item
• Pricing equity-linked life insurance with endogenous minimum guarantees
• A Theory of the Term Structure of Interest Rates
• A stochastic version of Thiele's differential equation
• Reserves in Life and Pension Insurance
• Hattendorff's theorem and Thiele's differential equation generalized
• Some remarks concerning stochastic interest rates in relation to long term insurance policies
• Lectures on the use of control theory in insurance
• An equilibrium characterization of the term structure