Thiele's differential equation with stochastic interest of diffusion type

DOI10.1080/03461238.1996.10413961MaRDI QIDQ4881685zbMATH OpenOpenAlexWikidataFDO

Authors Ragnar Norberg, Christian Max Møller

Publication date 11 June 1996

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

Full work available at URL https://doi.org/10.1080/03461238.1996.10413961

zbMATH Keywords

life insurancereservesThiele's differential equationstochastic discountingcounting process driven paymentsdiffusion driven stochastic interest

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• A stochastic version of Thiele's differential equation
• Thiele's differential equation generalized
• On the application of Thiele's differential equation in life insurance
• scientific article; zbMATH DE number 1978885
• Differential equations for moments of present values in life insurance

Cites work

• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• A stochastic version of Thiele's differential equation
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Hattendorff's theorem and Thiele's differential equation generalized
• Lectures on the use of control theory in insurance
• Pricing equity-linked life insurance with endogenous minimum guarantees
• Reserves in Life and Pension Insurance
• Some remarks concerning stochastic interest rates in relation to long term insurance policies

Cited in

(13)

• Ragnar Norberg (1945–2017): an actuary of a unique kind
• scientific article; zbMATH DE number 1978885 (Why is no real title available?)
• Differential equations for moments of present values in life insurance
• Phase-type representations of stochastic interest rates with applications to life insurance
• A stochastic model for financial evaluation: Applications to actuarial constructs
• Dynamics of state-wise prospective reserves in the presence of non-monotone information
• Thiele's differential equation generalized
• A stochastic version of Thiele's differential equation
• Stochastic interest rate in life insurance: The principle of equivalence revisited
• Lidstone in the continuous case
• Markov models and Thiele's integral equations for the prospective reserve
• A no arbitrage approach to Thiele's differential equation
• Thiele's differential equation as a tool in product development in life insurance

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