The emergence of profit in life insurance

DOI10.1016/0167-6687(88)90080-7zbMath0683.62062MaRDI QIDQ1824977

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

zbMATH Keywords

time-inhomogeneous Markov chains; life insurance policies; mortality tables; margins of safety; random profit; reversionary annuity

Mathematics Subject Classification ID

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

60G44: Martingales with continuous parameter

60J27: Continuous-time Markov processes on discrete state spaces

Related Items

Stochastic Models for Continuing Care Retirement Communities, Biometric worst-case scenarios for multi-state life insurance policies, 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, On the application of Thiele's differential equation in life insurance, Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory, Unnamed Item, The retrospective premium reserve, Safety margins for unsystematic biometric risk in life and health insurance, Surplus-linked life insurance, Bisk theory and its statistics enyiroment

Cites Work

• Hattendorff's Theorem: A Markov chain and counting process approach
• Actuarial values of payment streams
• Markov Chain Models in Life Insurance
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