Hattendorff's Theorem: A Markov chain and counting process approach

DOI10.1080/03461238.1988.10413845zbMath0659.62121MaRDI QIDQ3809096

Henrik Ramlau-Hansen

Publication date: 1988

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

Full work available at URL: https://doi.org/10.1080/03461238.1988.10413845

zbMATH Keywords

life insurance; generalization of Hattendorff's theorem; term and disability insurance; time- inhomogeneous Markov chain with a finite state space; zero mean martingales

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

60G42: Martingales with discrete parameter

Related Items

Indicator Function and Hattendorff Theorem, Stochastic Models for Continuing Care Retirement Communities, Multivariate higher order moments in multi-state life insurance, The recursive calculation of the moments of the profit on a sickness insurance policy, On the application of Thiele's differential equation in life insurance, The emergence of profit in life insurance, Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory, Matrix representations of life insurance payments, The retrospective premium reserve, Dynamics of state-wise prospective reserves in the presence of non-monotone information, Hattendorff's theorem and Thiele's differential equation generalized

Cites Work

• Statistical analysis of counting processes
• Nonparametric inference for a family of counting processes
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