Reserves in Life and Pension Insurance

DOI10.1080/03461238.1991.10557357zbMath0759.62028MaRDI QIDQ4012743

Publication date: 27 September 1992

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

Full work available at URL: https://doi.org/10.1080/03461238.1991.10557357

zbMATH Keywords

conditional expectations; pension insurance; prospective reserve; Thiele's differential equation; retrospective reserves; continuous time Markov chain model; Kolmogorov backward and forward differential equations; life insurrance

Mathematics Subject Classification ID

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

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

Related Items

Dynamics of solvency risk in life insurance liabilities, Reserves and cash flows under stochastic retirement, Integral and differential equations for the moments of multistate models in health insurance, Kolmogorov’s forward PIDE and forward transition rates in life insurance, Cash flows and policyholder behaviour in the semi-Markov life insurance setup, Thiele's differential equation with stochastic interest of diffusion type, Stochastic Analysis of the Interaction Between Investment and Insurance Risks, A no arbitrage approach to Thiele's differential equation, Nonlinear reserving in life insurance: aggregation and mean-field approximation, Some remarks on actuarial payment functions, A generic model for spouse's pensions with a view towards the calculation of liabilities, Markov models and Thiele's integral equations for the prospective reserve, Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts, Actuarial equivalence, Differential equations for moments of present values in life insurance, Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory, On life insurance reserves in a stochastic mortality and interest rates environment, The policyholder's static and dynamic decision making of life insurance and pension payments, Reserve-dependent benefits and costs in life and health insurance contracts, Surplus-linked life insurance, Hattendorff's theorem and Thiele's differential equation generalized

Cites Work