Differential equations for moments of present values in life insurance

DOI10.1016/0167-6687(95)00019-OzbMath0836.62088MaRDI QIDQ1904998

Ragnar Norberg

Publication date: 6 May 1996

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

zbMATH Keywords

martingalesreserveshigher order conditional momentslife insurance policyThiele's differential equations

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on discrete state spaces (60J27) Probabilistic methods, stochastic differential equations (65C99)

Related Items (28)

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Cites Work

• Reserves in Life and Pension Insurance
• Hattendorff's theorem and Thiele's differential equation generalized
• Actuarial values of payment streams
• A time‐continuous markov chain interest model with applications to insurance
• Markov Chain Models in Life Insurance
• Statistical models based on counting processes

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