Nonlinear reserving and multiple contract modifications in life insurance
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Publication:784434
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
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
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