Reserves in Life and Pension Insurance

DOI10.1080/03461238.1991.10557357zbMath0759.62028OpenAlexW1976996435MaRDI 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

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

Related Items (42)

Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts ⋮ Actuarial equivalence ⋮ COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE ⋮ Differential equations for moments of present values in life insurance ⋮ Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview ⋮ Nonlinear reserving in life insurance: aggregation and mean-field approximation ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ 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 ⋮ Markov models and Thiele's integral equations for the prospective reserve ⋮ Hattendorff's theorem and Thiele's differential equation generalized ⋮ Transaction time models in multi-state life insurance ⋮ Fractional inhomogeneous multi-state models in life insurance ⋮ A generic model for spouse's pensions with a view towards the calculation of liabilities ⋮ Aggregate Markov models in life insurance: properties and valuation ⋮ Estimating absorption time distributions of general Markov jump processes ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ Matrix representations of life insurance payments ⋮ Evaluating the Technical Provisions for Traditional Brazilian Annuity Plans: Continuous-Time Stochastic Approach Based on Solvency Principles ⋮ Thiele's differential equation with stochastic interest of diffusion type ⋮ Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory ⋮ Tax- and expense-modified risk-minimization for insurance payment processes ⋮ On life insurance reserves in a stochastic mortality and interest rates environment ⋮ Mean-field reflected backward stochastic differential equations ⋮ Stochastic Analysis of the Interaction Between Investment and Insurance Risks ⋮ Some remarks on actuarial payment functions ⋮ A no arbitrage approach to Thiele's differential equation ⋮ Forward transition rates ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind ⋮ 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 ⋮ Retrospective reserves and bonus ⋮ Cash flow techniques for asset liability management ⋮ Experience rating in the classic Markov chain life insurance setting ⋮ Nonlinear reserving and multiple contract modifications in life insurance ⋮ Multivariate higher order moments in multi-state life insurance ⋮ Surplus-linked life insurance ⋮ Reserve-dependent Management Actions in life insurance

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