Reserve-dependent benefits and costs in life and health insurance contracts

DOI10.1016/J.INSMATHECO.2014.05.009zbMath1304.91096OpenAlexW1965039836MaRDI QIDQ2513450

Jan Dhaene, Marcus C. Christiansen, Michel M. Denuit

Publication date: 28 January 2015

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

Full work available at URL: https://cdn.uclouvain.be/public/Exports%20reddot/stat/documents/DP2014_04.pdf

zbMATH Keywords

Markov processlife insurancemultistate modelssurrender valueCantelli theorem

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (11)

Nonlinear reserving in life insurance: aggregation and mean-field approximation ⋮ LIFELONG HEALTH INSURANCE COVERS WITH SURRENDER VALUES: UPDATING MECHANISMS IN THE PRESENCE OF MEDICAL INFLATION ⋮ Product pricing and solvency capital requirements for long-term care insurance ⋮ Converting retirement benefit into a life care annuity with graded benefits ⋮ Reserve-dependent surrender rates ⋮ Evaluating the Technical Provisions for Traditional Brazilian Annuity Plans: Continuous-Time Stochastic Approach Based on Solvency Principles ⋮ Mean-field reflected backward stochastic differential equations ⋮ Retrospective reserves and bonus ⋮ Nonlinear reserving and multiple contract modifications in life insurance ⋮ MODERN LIFE-CARE TONTINES ⋮ Reserve-dependent Management Actions in life insurance

Cites Work

• Markov models and Thiele's integral equations for the prospective reserve
• The retrospective premium reserve
• Actuarial Mathematics for Life Contingent Risks
• Reserves in Life and Pension Insurance
• Mathematische Methoden der Personenversicherung
• Life Insurance Lapse Behavior
• Unnamed Item

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