Nonlinear reserving and multiple contract modifications in life insurance
type: Item
instance of: scholarly article
title: Nonlinear reserving and multiple contract modifications in life insurance
zbMATH Open document ID: 1446.91058
author: Marcus C. Christiansen
author: Boualem Djehiche
published in: Insurance Mathematics \& Economics
publication date: 2020-08-03T00:00:00Z
full work available at URL: https://arxiv.org/abs/1911.06159
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91B41
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 7226836
zbMATH Keywords: implicit options
zbMATH Keywords: prospective reserve
zbMATH Keywords: nonlinear semi-Markov chain
zbMATH Keywords: backward SDEs
zbMATH Keywords: Thiele equation
MaRDI profile type: Publication
OpenAlex ID: W3027323267
arXiv ID: 1911.06159
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DOI: 10.1016/J.INSMATHECO.2020.05.004
description: scientific article