On the application of Thiele's differential equation in life insurance

DOI10.1016/0167-6687(93)90536-XzbMath0789.62088OpenAlexW2013889359WikidataQ115363817 ScholiaQ115363817MaRDI QIDQ1318552

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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)

Related Items (12)

Actuarial equivalence ⋮ Unnamed Item ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Product pricing and solvency capital requirements for long-term care insurance ⋮ Sensitivity of life insurance reserves via Markov semigroups ⋮ Converting retirement benefit into a life care annuity with graded benefits ⋮ Biometric worst-case scenarios for multi-state life insurance policies ⋮ On Bonus and Bonus Prognoses in Life Insurance ⋮ Valuation of Participating Life Insurance Liabilities ⋮ 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 ⋮ Stochastic interest rate in life insurance: The principle of equivalence revisited

Cites Work

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• The emergence of profit in life insurance
• Über den Einfluß von Änderungen der Rechnungsgrundlagen auf Prämien und Prämienreserven
• Über die wechselseitige Abhängigkeit von Prämien, Reserven und Rechnungsgrundlagen
• Lidstone in the continuous case
• Hattendorff's Theorem: A Markov chain and counting process approach
• Markov Chain Models in Life Insurance

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