Nonlinear reserving and multiple contract modifications in life insurance

DOI10.1016/j.insmatheco.2020.05.004zbMath1446.91058arXiv1911.06159OpenAlexW3027323267MaRDI QIDQ784434

Boualem Djehiche, Marcus C. Christiansen

Publication date: 3 August 2020

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

Full work available at URL: https://arxiv.org/abs/1911.06159

zbMATH Keywords

backward SDEsprospective reserveimplicit optionsnonlinear semi-Markov chainThiele equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Actuarial mathematics (91G05) Contract theory (moral hazard, adverse selection) (91B41)

Related Items (6)

Scaled insurance cash flows: representation and computation via change of measure techniques ⋮ COMPUTATION OF BONUS IN MULTI-STATE LIFE INSURANCE ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Transaction time models in multi-state life insurance ⋮ Extension of as-if-Markov modeling to scaled payments ⋮ Time-dynamic evaluations under non-monotone information generated by marked point processes

Cites Work

• Nonlinear reserving in life insurance: aggregation and mean-field approximation
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• Multistate models in health insurance
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• A stochastic version of Thiele's differential equation
• Reserves in Life and Pension Insurance
• Hattendorff's theorem and Thiele's differential equation generalized
• Stochastic integrals for martingales of a jump process with partially accessible jump times
• Cash flows and policyholder behaviour in the semi-Markov life insurance setup
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