Nonlinear reserving in life insurance: aggregation and mean-field approximation

DOI10.1016/J.INSMATHECO.2016.04.002MaRDI QIDQ343953zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov processbackward stochastic differential equationmean fieldlife insurancemultistate modelssurrender valueThiele's equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• scientific article; zbMATH DE number 5151672 (Why is no real title available?)
• scientific article; zbMATH DE number 1515832 (Why is no real title available?)
• A general theory of finite state backward stochastic difference equations
• Anomalous PDEs in Markov chains: domains of validity and numerical solutions
• Backward Stochastic Differential Equations in Finance
• Continuous-time stochastic control and optimization with financial applications
• Existence, uniqueness and comparisons for BSDEs in general spaces
• Hattendorff's theorem and Thiele's differential equation generalized
• Mean-field backward stochastic differential equations and related partial differential equations
• Point processes and queues. Martingale dynamics
• Reserve-dependent benefits and costs in life and health insurance contracts
• Reserves in Life and Pension Insurance
• Solutions of backward stochastic differential equations on Markov chains
• Stochastic Differential Utility

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
• Time-dynamic evaluations under non-monotone information generated by marked point processes
• What is fair? Proxy discrimination vs. demographic disparities in insurance pricing
• 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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