Markov models and Thiele's integral equations for the prospective reserve

DOI10.1016/S0167-6687(97)00020-6zbMath0943.62104OpenAlexW2064135049MaRDI QIDQ1381150

Andrea Stracke, Hartmut Milbrodt

Publication date: 31 August 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(97)00020-6

zbMATH Keywords

Markov jump processeslife insuranceinsurance contractspension insuranceactuarial payment functionsThiele's differential equationmultivariate counting processescumulative interest intensity functionspolicy development

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Systems of nonsingular linear integral equations (45F05)

Related Items (16)

Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ Multistate models in health insurance ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Sensitivity of life insurance reserves via Markov semigroups ⋮ Aggregate Markov models in life insurance: properties and valuation ⋮ Evaluating the Technical Provisions for Traditional Brazilian Annuity Plans: Continuous-Time Stochastic Approach Based on Solvency Principles ⋮ Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory ⋮ Biometric worst-case scenarios for multi-state life insurance policies ⋮ Hattendorff's theorem for non-smooth continuous-time Markov models. II: Application ⋮ SAFE-SIDE SCENARIOS FOR FINANCIAL AND BIOMETRICAL RISK ⋮ A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension ⋮ A sensitivity analysis of typical life insurance contracts with respect to the technical basis ⋮ Reserve-dependent benefits and costs in life and health insurance contracts ⋮ Nonlinear reserving and multiple contract modifications in life insurance ⋮ Multivariate higher order moments in multi-state life insurance ⋮ Safety margins for unsystematic biometric risk in life and health insurance

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