A stochastic version of Thiele's differential equation

DOI10.1080/03461238.1993.10413910MaRDI QIDQ3142171zbMATH OpenOpenAlexWikidataFDO

Authors Christian Max Møller

Publication date 12 December 1993

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1993.10413910

zbMATH Keywords

point processstochastic differential equationnumerical examplesemi-Markov modellife insuranceThiele's differential equationmartingale representations

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) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20)

Recommendations

• Thiele's differential equation with stochastic interest of diffusion type
• On the application of Thiele's differential equation in life insurance
• scientific article; zbMATH DE number 1978885
• Thiele's differential equation generalized
• Markov models and Thiele's integral equations for the prospective reserve

Cites work

• scientific article; zbMATH DE number 3922442 (Why is no real title available?)
• scientific article; zbMATH DE number 3682726 (Why is no real title available?)
• scientific article; zbMATH DE number 3581570 (Why is no real title available?)
• Hattendorff's theorem and Thiele's differential equation generalized
• Numerical evaluation of Markov transition probabilities based on the discretized product integral
• Point processes and queues. Martingale dynamics

Cited in

(17)

• Stochastic interest rate in life insurance: The principle of equivalence revisited
• Aspects of prospective mean values in risk theory
• Markov models and Thiele's integral equations for the prospective reserve
• A counting process approach to stochastic interest
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
• Time-dynamic evaluations under non-monotone information generated by marked point processes
• Differential equations for moments of present values in life insurance
• Thiele's differential equation with stochastic interest of diffusion type
• Kolmogorov's forward PIDE and forward transition rates in life insurance
• Nonlinear reserving and multiple contract modifications in life insurance
• A no arbitrage approach to Thiele's differential equation
• scientific article; zbMATH DE number 1978885 (Why is no real title available?)
• Thiele's differential equation generalized
• Dynamics of state-wise prospective reserves in the presence of non-monotone information
• Addendum to Hattendorff's Theorem and Thiele's Differential Equation Generalized, SAJ 1992, 2–14
• Thiele's differential equation as a tool in product development in life insurance
• Multistate models in health insurance

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