Dynamics of state-wise prospective reserves in the presence of non-monotone information
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Publication:2657019
DOI10.1016/j.insmatheco.2021.01.005zbMath1460.91216arXiv2003.02173OpenAlexW3122963778MaRDI QIDQ2657019
Marcus C. Christiansen, Christian Furrer
Publication date: 17 March 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.02173
marked point processeslife insuranceinfinitesimal martingalesstochastic retirementstochastic Thiele equations
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Actuarial mathematics (91G05)
Related Items (3)
Transaction time models in multi-state life insurance ⋮ Extension of as-if-Markov modeling to scaled payments ⋮ On the calculation of prospective and retrospective reserves in non-Markov models
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