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

DOI10.1016/0167-6687(93)90536-XMaRDI QIDQ1318552zbMATH OpenOpenAlexWikidataFDO

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

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 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)

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Cites work

• scientific article; zbMATH DE number 3131498 (Why is no real title available?)
• scientific article; zbMATH DE number 3342607 (Why is no real title available?)
• scientific article; zbMATH DE number 3109901 (Why is no real title available?)
• Hattendorff's Theorem: A Markov chain and counting process approach
• Lidstone in the continuous case
• Markov Chain Models in Life Insurance
• 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

Cited in

(21)

• Stochastic interest rate in life insurance: The principle of equivalence revisited
• 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
• scientific article; zbMATH DE number 3105711 (Why is no real title available?)
• 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
• On Bonus and Bonus Prognoses in Life Insurance
• Valuation of Participating Life Insurance Liabilities
• scientific article; zbMATH DE number 1978885 (Why is no real title available?)
• Biometric worst-case scenarios for multi-state life insurance policies
• Thiele's differential equation generalized
• 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

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