On probability distributions of present values in life insurance

DOI10.1016/0167-6687(95)00026-7zbMath0855.62096OpenAlexW2075212148MaRDI QIDQ1921981

Ole Hesselager, Ragnar Norberg

Publication date: 9 February 1997

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

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00026-7

zbMATH Keywords

integral equationsconditional probabilitynumerical illustrationsMarkov counting processmultistate life insurancestate-dependent force of interest

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) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (10)

Unnamed Item ⋮ Fractional inhomogeneous multi-state models in life insurance ⋮ Matrix representations of life insurance payments ⋮ Hattendorff's theorem for non-smooth continuous-time Markov models. II: Application ⋮ Approximate Bayesian computations to fit and compare insurance loss models ⋮ Modeling the Impact of Genetics on Insurance ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind ⋮ Stochastic analysis in life office management: applications to large annuity portfolios ⋮ Two approximations of the present value distribution of a disability annuity ⋮ Multivariate higher order moments in multi-state life insurance

Cites Work

• Differential equations for moments of present values in life insurance
• A time‐continuous markov chain interest model with applications to insurance

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