Hattendorff's Theorem: A Markov chain and counting process approach

DOI10.1080/03461238.1988.10413845zbMath0659.62121OpenAlexW2091479235MaRDI QIDQ3809096

Henrik Ramlau-Hansen

Publication date: 1988

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1988.10413845

zbMATH Keywords

life insurancegeneralization of Hattendorff's theoremterm and disability insurancetime- inhomogeneous Markov chain with a finite state spacezero mean martingales

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42)

Related Items (11)

The retrospective premium reserve ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Hattendorff's theorem and Thiele's differential equation generalized ⋮ Matrix representations of life insurance payments ⋮ Hattendorff's theorem for non-smooth continuous-time Markov models. I: Theory ⋮ The recursive calculation of the moments of the profit on a sickness insurance policy ⋮ Indicator Function and Hattendorff Theorem ⋮ Stochastic Models for Continuing Care Retirement Communities ⋮ The emergence of profit in life insurance ⋮ Multivariate higher order moments in multi-state life insurance ⋮ On the application of Thiele's differential equation in life insurance

Cites Work

• Statistical analysis of counting processes
• Nonparametric inference for a family of counting processes
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