The emergence of profit in life insurance

DOI10.1016/0167-6687(88)90080-7zbMATH Open0683.62062OpenAlexW2036977823MaRDI QIDQ1824977FDOQ1824977

Authors: Henrik Ramlau-Hansen 

Publication date: 1988

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(88)90080-7

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zbMATH Keywords

time-inhomogeneous Markov chainslife insurance policiesmortality tablesmargins of safetyrandom profitreversionary annuity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Markov Chain Models in Life Insurance
• Hattendorff's Theorem: A Markov chain and counting process approach
• Title not available (Why is that?)
• Actuarial values of payment streams

Cited In (19)

• On the application of Thiele's differential equation in life insurance
• Stochastic Models for Continuing Care Retirement Communities
• Bisk theory and its statistics enyiroment
• A general surplus decomposition principle in life insurance
• Safety margins for unsystematic biometric risk in life and health insurance
• Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory
• Financial pricing models for property-casualty insurance products
• Reputation pricing: a model for valuing future life insurance policies
• Sensitivity of life insurance reserves via Markov semigroups
• On technical bases and surplus in life insurance
• On the decomposition of an insurer's profits and losses
• The retrospective premium reserve
• Surplus-linked life insurance
• 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
• Efficient projections of with-profit life insurance using lumping
• Safe-side requirements in the framework of multistate models for the insurances of the person

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