Nonlinear reserving in life insurance: aggregation and mean-field approximation

DOI10.1016/j.insmatheco.2016.04.002zbMath1369.91081OpenAlexW2238500021MaRDI QIDQ343953

Björn Löfdahl, Boualem Djehiche

Publication date: 21 November 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.002

zbMATH Keywords

Markov processbackward stochastic differential equationlife insurancemultistate modelsmean fieldsurrender valueThiele's equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Transaction time models in multi-state life insurance ⋮ Time-dynamic evaluations under non-monotone information generated by marked point processes ⋮ Nonlinear reserving and multiple contract modifications in life insurance ⋮ Reserve-dependent Management Actions in life insurance

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