Nonlinear reserving in life insurance: aggregation and mean-field approximation
DOI10.1016/J.INSMATHECO.2016.04.002zbMATH Open1369.91081OpenAlexW2238500021MaRDI QIDQ343953FDOQ343953
Authors: Boualem Djehiche, Björn Löfdahl 
Publication date: 21 November 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.002
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
- Continuous-time stochastic control and optimization with financial applications
- Stochastic Differential Utility
- Backward Stochastic Differential Equations in Finance
- Mean-field backward stochastic differential equations and related partial differential equations
- Point processes and queues. Martingale dynamics
- Title not available (Why is that?)
- Solutions of backward stochastic differential equations on Markov chains
- A general theory of finite state backward stochastic difference equations
- Anomalous PDEs in Markov chains: domains of validity and numerical solutions
- Reserve-dependent benefits and costs in life and health insurance contracts
- Title not available (Why is that?)
- Reserves in Life and Pension Insurance
- Hattendorff's theorem and Thiele's differential equation generalized
- Existence, uniqueness and comparisons for BSDEs in general spaces
Cited In (9)
- Transaction time models in multi-state life insurance
- Reserve-dependent Management Actions in life insurance
- Sensitivity of life insurance reserves via Markov semigroups
- What is fair? Proxy discrimination vs. demographic disparities in insurance pricing
- Time-dynamic evaluations under non-monotone information generated by marked point processes
- Nonlinear reserving and multiple contract modifications in life insurance
- Dynamics of state-wise prospective reserves in the presence of non-monotone information
- AN INDUSTRY QUESTION: THE ULTIMATE AND ONE-YEAR RESERVING UNCERTAINTY FOR DIFFERENT NON-LIFE RESERVING METHODOLOGIES
- Efficient projections of with-profit life insurance using lumping
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