A no arbitrage approach to Thiele's differential equation

DOI10.1016/S0167-6687(00)00048-2zbMath0994.91032OpenAlexW2052562421WikidataQ115339590 ScholiaQ115339590MaRDI QIDQ5942778

Mogens Steffensen

Publication date: 9 September 2001

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(00)00048-2

zbMATH Keywords

markets prices of payment processesMartingale measuresecuritizationunit-linked insurance

Mathematics Subject Classification ID

Related Items (13)

Stochastic mortality in life insurance: market reserves and mortality-linked insurance contracts ⋮ Valuation and hedging of life insurance liabilities with systematic mortality risk ⋮ A law of large numbers approach to valuation in life insurance ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Dynamics of solvency risk in life insurance liabilities ⋮ Intervention options in life insurance ⋮ Markov chain modeling of policyholder behavior in life insurance and pension ⋮ Number of paths versus number of basis functions in American option pricing ⋮ Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes ⋮ On accounting standards and fair valuation of life insurance and pension liabilities ⋮ Stochastic mortality under measure changes ⋮ Surplus-linked life insurance ⋮ Reserve-dependent Management Actions in life insurance

Cites Work

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• A general version of the fundamental theorem of asset pricing
• Aspects of prospective mean values in risk theory
• Equity-linked life insurance: A model with stochastic interest rates
• Reserves in Life and Pension Insurance
• Hattendorff's theorem and Thiele's differential equation generalized
• Pricing of Unit-linked Life Insurance Policies
• A time‐continuous markov chain interest model with applications to insurance
• Markov Chain Models in Life Insurance

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