A stochastic version of Thiele's differential equation
DOI10.1080/03461238.1993.10413910zbMATH Open0783.62085OpenAlexW2019197114WikidataQ115297968 ScholiaQ115297968MaRDI QIDQ3142171FDOQ3142171
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
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Cites Work
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- Point processes and queues. Martingale dynamics
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- Hattendorff's theorem and Thiele's differential equation generalized
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- Numerical evaluation of Markov transition probabilities based on the discretized product integral
Cited In (17)
- 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
- A no arbitrage approach to Thiele's differential equation
- Nonlinear reserving and multiple contract modifications in life insurance
- Title not available (Why is that?)
- Thiele's differential equation generalized
- Addendum to Hattendorff's Theorem and Thiele's Differential Equation Generalized, SAJ 1992, 2–14
- Dynamics of state-wise prospective reserves in the presence of non-monotone information
- Thiele's differential equation as a tool in product development in life insurance
- Multistate models in health insurance
- Stochastic interest rate in life insurance: The principle of equivalence revisited
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