Sensitivity of life insurance reserves via Markov semigroups

DOI10.1080/03461238.2013.794436zbMath1398.91325OpenAlexW2065510873MaRDI QIDQ4576775

Matthias Albrecht Fahrenwaldt

Publication date: 10 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2013.794436

zbMATH Keywords

evolution systemsnon-autonomous parabolic partial differential equationsThiele's differential equationmarket reservesensitivity of reserves

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Initial value problems for second-order parabolic equations (35K15)

Related Items (2)

Statistical Estimation Techniques in Life and Disability Insurance—A Short Overview ⋮ Dynamics of solvency risk in life insurance liabilities

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