Differential systems in finance and life insurance

MaRDI QIDQ3606196zbMATH OpenFDO

Authors Mogens Steffensen

Publication date 26 February 2009

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• A time‐continuous markov chain interest model with applications to insurance
• Differential equations for moments of present values in life insurance
• On probability distributions of present values in life insurance
• On the Sensitivity of Premiums and Reserves to Changes in Valuation Elements
• scientific article; zbMATH DE number 1865407

Cited in

(3)

• On the application of Thiele's differential equation in life insurance
• Optimization of the superstable linear stochastic system applied to the model with extremely impatient agents
• Sensitivity of life insurance reserves via Markov semigroups

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