Dynamics of state-wise prospective reserves in the presence of non-monotone information

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Dynamics of state-wise prospective reserves in the presence of non-monotone information. / Christiansen, Marcus C.; Furrer, Christian.

I: Insurance: Mathematics and Economics, Bind 97, 2021, s. 81-98.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Christiansen, MC & Furrer, C 2021, 'Dynamics of state-wise prospective reserves in the presence of non-monotone information', Insurance: Mathematics and Economics, bind 97, s. 81-98. https://doi.org/10.1016/j.insmatheco.2021.01.005

APA

Christiansen, M. C., & Furrer, C. (2021). Dynamics of state-wise prospective reserves in the presence of non-monotone information. Insurance: Mathematics and Economics, 97, 81-98. https://doi.org/10.1016/j.insmatheco.2021.01.005

Vancouver

Christiansen MC, Furrer C. Dynamics of state-wise prospective reserves in the presence of non-monotone information. Insurance: Mathematics and Economics. 2021;97:81-98. https://doi.org/10.1016/j.insmatheco.2021.01.005

Author

Christiansen, Marcus C. ; Furrer, Christian. / Dynamics of state-wise prospective reserves in the presence of non-monotone information. I: Insurance: Mathematics and Economics. 2021 ; Bind 97. s. 81-98.

Bibtex

@article{eb452a2707f04c8aa812a4fe341ba5c2,
title = "Dynamics of state-wise prospective reserves in the presence of non-monotone information",
abstract = "In the presence of monotone information, the stochastic Thiele equation describing the dynamics of state-wise prospective reserves is closely related to the classic martingale representation theorem. When the information utilized by the insurer is non-monotone, the classic martingale theory does not apply. By taking an infinitesimal approach, we derive a generalized stochastic Thiele equation that allows for information discarding. En passant, we solve some open problems for the classic case of monotone information. The results and their implication in practice are illustrated via examples where information is discarded upon and after stochastic retirement.",
keywords = "Infinitesimal martingales, Life insurance, Marked point processes, Stochastic retirement, Stochastic Thiele equations",
author = "Christiansen, {Marcus C.} and Christian Furrer",
year = "2021",
doi = "10.1016/j.insmatheco.2021.01.005",
language = "English",
volume = "97",
pages = "81--98",
journal = "Insurance: Mathematics and Economics",
issn = "0167-6687",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Dynamics of state-wise prospective reserves in the presence of non-monotone information

AU - Christiansen, Marcus C.

AU - Furrer, Christian

PY - 2021

Y1 - 2021

N2 - In the presence of monotone information, the stochastic Thiele equation describing the dynamics of state-wise prospective reserves is closely related to the classic martingale representation theorem. When the information utilized by the insurer is non-monotone, the classic martingale theory does not apply. By taking an infinitesimal approach, we derive a generalized stochastic Thiele equation that allows for information discarding. En passant, we solve some open problems for the classic case of monotone information. The results and their implication in practice are illustrated via examples where information is discarded upon and after stochastic retirement.

AB - In the presence of monotone information, the stochastic Thiele equation describing the dynamics of state-wise prospective reserves is closely related to the classic martingale representation theorem. When the information utilized by the insurer is non-monotone, the classic martingale theory does not apply. By taking an infinitesimal approach, we derive a generalized stochastic Thiele equation that allows for information discarding. En passant, we solve some open problems for the classic case of monotone information. The results and their implication in practice are illustrated via examples where information is discarded upon and after stochastic retirement.

KW - Infinitesimal martingales

KW - Life insurance

KW - Marked point processes

KW - Stochastic retirement

KW - Stochastic Thiele equations

UR - http://www.scopus.com/inward/record.url?scp=85100023768&partnerID=8YFLogxK

U2 - 10.1016/j.insmatheco.2021.01.005

DO - 10.1016/j.insmatheco.2021.01.005

M3 - Journal article

AN - SCOPUS:85100023768

VL - 97

SP - 81

EP - 98

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

SN - 0167-6687

ER -

ID: 256677127