Thiele's differential equation with stochastic interest of diffusion type

DOI10.1080/03461238.1996.10413961zbMath0845.62077OpenAlexW2138493734WikidataQ115297927 ScholiaQ115297927MaRDI QIDQ4881685

Ragnar Norberg, Christian Max Møller

Publication date: 11 June 1996

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

Full work available at URL: https://doi.org/10.1080/03461238.1996.10413961

zbMATH Keywords

life insurancereservesstochastic discountingThiele's differential equationcounting process driven paymentsdiffusion driven stochastic interest

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

Unnamed Item ⋮ Markov models and Thiele's integral equations for the prospective reserve ⋮ Phase-type representations of stochastic interest rates with applications to life insurance ⋮ Ragnar Norberg (1945–2017): an actuary of a unique kind ⋮ Stochastic interest rate in life insurance: The principle of equivalence revisited

Cites Work

• Unnamed Item
• Pricing equity-linked life insurance with endogenous minimum guarantees
• A Theory of the Term Structure of Interest Rates
• A stochastic version of Thiele's differential equation
• Reserves in Life and Pension Insurance
• Hattendorff's theorem and Thiele's differential equation generalized
• Some remarks concerning stochastic interest rates in relation to long term insurance policies
• Lectures on the use of control theory in insurance
• An equilibrium characterization of the term structure

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