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Differential equations for moments of present values in life insurance

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  • Norberg, Ragnar

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  • Norberg, Ragnar, 1995. "Differential equations for moments of present values in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 17(2), pages 171-180, October.
    • Handle: RePEc:eee:insuma:v:17:y:1995:i:2:p:171-180
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    Cited by:

    1. Jamaal Ahmad & Mogens Bladt, 2022. "Phase-type representations of stochastic interest rates with applications to life insurance," Papers 2207.11292, arXiv.org, revised Nov 2022.
    2. Asmussen, Soren & Moller, Jakob R., 2003. "Risk comparisons of premium rules: optimality and a life insurance study," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 331-344, July.
    3. Koca, Ilknur, 2018. "Efficient numerical approach for solving fractional partial differential equations with non-singular kernel derivatives," Chaos, Solitons & Fractals, Elsevier, vol. 116(C), pages 278-286.
    4. Jamaal Ahmad, 2021. "Multivariate higher order moments in multi-state life insurance," Papers 2102.11714, arXiv.org, revised Oct 2021.
    5. Ahsan, Muhammad & Lei, Weidong & Bohner, Martin & Khan, Amir Ali, 2024. "A high-order multi-resolution wavelet method for nonlinear systems of differential equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 215(C), pages 543-559.
    6. Angus Macdonald & Pradip Tapadar, 2010. "Multifactorial Genetic Disorders and Adverse Selection: Epidemiology Meets Economics," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(1), pages 155-182, March.
    7. Djehiche, Boualem & Löfdahl, Björn, 2014. "Risk aggregation and stochastic claims reserving in disability insurance," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 100-108.
    8. Gupta, Aparna & Li, Lepeng, 2007. "Integrating long-term care insurance purchase decisions with saving and investment for retirement," Insurance: Mathematics and Economics, Elsevier, vol. 41(3), pages 362-381, November.
    9. Møller, Thomas, 1998. "Risk-Minimizing Hedging Strategies for Unit-Linked Life Insurance Contracts," ASTIN Bulletin, Cambridge University Press, vol. 28(1), pages 17-47, May.
    10. Milbrodt, Hartmut, 1999. "Hattendorff's theorem for non-smooth continuous-time Markov models I: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 25(2), pages 181-195, November.
    11. Feng, Xinlong & He, Guoliang & Abdurishit,, 2008. "Estimation of parameters of the Makeham distribution using the least squares method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 34-44.
    12. Zhao, Xiaobing & Zhou, Xian, 2012. "Estimation of medical costs by copula models with dynamic change of health status," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 480-491.
    13. B. Levikson & E. Frostig & D. Bshouty, 2001. "An Algorithm Evaluating Generalized Life Insurance Programs," Methodology and Computing in Applied Probability, Springer, vol. 3(3), pages 329-340, September.
    14. Milbrodt, Hartmut & Stracke, Andrea, 1997. "Markov models and Thiele's integral equations for the prospective reserve," Insurance: Mathematics and Economics, Elsevier, vol. 19(3), pages 187-235, May.
    15. Hesselager, Ole & Norberg, Ragnar, 1996. "On probability distributions of present values in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 35-42, May.
    16. Rajeev Rajaram & Nathan Ritchey, 2021. "Hattendorff Differential Equation for Multi-State Markov Insurance Models," Risks, MDPI, vol. 9(9), pages 1-19, September.

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