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Markov models and Thiele's integral equations for the prospective reserve

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  • Milbrodt, Hartmut
  • Stracke, Andrea

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  • 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.
    • Handle: RePEc:eee:insuma:v:19:y:1997:i:3:p:187-235
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    References listed on IDEAS

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    1. R.D. Gill, 1980. "Censoring and Stochastic Integrals," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 34(2), pages 124-124, June.
    2. Oecd, 1997. "Budgeting and Monitoring of Personnel Costs," SIGMA Papers 11, OECD Publishing.
    3. anonymous, 1997. "Atlanta Fed hosts personal financial literacy seminar," Financial Update, Federal Reserve Bank of Atlanta, vol. 10(Apr), pages 1-5.
    4. 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.
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    Cited by:

    1. Ahmad, Jamaal & Bladt, Mogens & Furrer, Christian, 2023. "Aggregate Markov models in life insurance: Properties and valuation," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 50-69.
    2. Christiansen, Marcus C. & Furrer, Christian, 2021. "Dynamics of state-wise prospective reserves in the presence of non-monotone information," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 81-98.
    3. Christiansen, Marcus C. & Djehiche, Boualem, 2020. "Nonlinear reserving and multiple contract modifications in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 187-195.
    4. Christiansen, Marcus C., 2008. "A sensitivity analysis concept for life insurance with respect to a valuation basis of infinite dimension," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 680-690, April.
    5. Marcus C. Christiansen & Michel M. Denuit & Jan Dhaene, 2014. "Reserve-Dependent Benefits and Costs in Life and Health Insurance Contracts," Tinbergen Institute Discussion Papers 14-117/IV/DSF80, Tinbergen Institute.
    6. Christian Furrer, 2022. "Scaled insurance cash flows: representation and computation via change of measure techniques," Finance and Stochastics, Springer, vol. 26(2), pages 359-382, April.
    7. D'Amico, Guglielmo & Singh, Shakti & Selvamuthu, Dharmaraja, 2024. "Optimal investment-disinvestment choices in health-dependent variable annuity," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 1-15.
    8. Marcus C. Christiansen & Christian Furrer, 2024. "Canonical insurance models: stochastic equations and comparison theorems," Papers 2411.12522, arXiv.org.
    9. Christiansen, Marcus C., 2010. "Biometric worst-case scenarios for multi-state life insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 190-197, October.
    10. Milbrodt, Hartmut, 2000. "Hattendorff's theorem for non-smooth continuous-time Markov models II: Application," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 1-14, February.
    11. Marcus Christiansen, 2012. "Multistate models in health insurance," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 155-186, June.
    12. Christiansen, Marcus C., 2008. "A sensitivity analysis of typical life insurance contracts with respect to the technical basis," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 787-796, April.

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