Thiele's differential equation with stochastic interest of diffusion type

DOI10.1080/03461238.1996.10413961zbMATH Open0845.62077OpenAlexW2138493734WikidataQ115297927 ScholiaQ115297927MaRDI QIDQ4881685FDOQ4881685

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

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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)

Cites Work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Title not available (Why is that?)
• Reserves in Life and Pension Insurance
• 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
• Some remarks concerning stochastic interest rates in relation to long term insurance policies
• A stochastic version of Thiele's differential equation

Cited In (11)

• Markov models and Thiele's integral equations for the prospective reserve
• A stochastic version of Thiele's differential equation
• Lidstone in the continuous case
• Phase-type representations of stochastic interest rates with applications to life insurance
• Differential equations for moments of present values in life insurance
• A no arbitrage approach to Thiele's differential equation
• Ragnar Norberg (1945–2017): an actuary of a unique kind
• Title not available (Why is that?)
• A stochastic model for financial evaluation: Applications to actuarial constructs
• Thiele's differential equation as a tool in product development in life insurance
• Stochastic interest rate in life insurance: The principle of equivalence revisited

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