On the application of Thiele's differential equation in life insurance
DOI10.1016/0167-6687(93)90536-XzbMATH Open0789.62088OpenAlexW2013889359WikidataQ115363817 ScholiaQ115363817MaRDI QIDQ1318552FDOQ1318552
Authors: Per Linnemann 
Publication date: 16 June 1994
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(93)90536-x
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Markov chain modelThiele's differential equationlife contingenciescounting process approachaccumulation of surplusalterations in technical basesexpected actual development of the mathematical reserveinsurance technical development of closed insurance portfoliosmargins of safetysecurity aspects
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Markov Chain Models in Life Insurance
- The emergence of profit in life insurance
- Lidstone in the continuous case
- Über den Einfluß von Änderungen der Rechnungsgrundlagen auf Prämien und Prämienreserven
- Title not available (Why is that?)
- Hattendorff's Theorem: A Markov chain and counting process approach
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- Über die wechselseitige Abhängigkeit von Prämien, Reserven und Rechnungsgrundlagen
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Cited In (21)
- On some problem of determination of insurance premium leading to functional equation
- Product pricing and solvency capital requirements for long-term care insurance
- A stochastic version of Thiele's differential equation
- Title not available (Why is that?)
- Actuarial equivalence
- Sensitivity of life insurance reserves via Markov semigroups
- On technical bases and surplus in life insurance
- Differential equations for moments of present values in life insurance
- Converting retirement benefit into a life care annuity with graded benefits
- A no arbitrage approach to Thiele's differential equation
- Valuation of Participating Life Insurance Liabilities
- On Bonus and Bonus Prognoses in Life Insurance
- Title not available (Why is that?)
- Thiele's differential equation generalized
- Biometric worst-case scenarios for multi-state life insurance policies
- Dynamics of state-wise prospective reserves in the presence of non-monotone information
- A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension
- A sensitivity analysis of typical life insurance contracts with respect to the technical basis
- Safe-side requirements in the framework of multistate models for the insurances of the person
- Thiele's differential equation as a tool in product development in life insurance
- Stochastic interest rate in life insurance: The principle of equivalence revisited
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