Change search
ReferencesLink to record
Permanent link

Direct link
Nonlinear reserving in life insurance: Aggregation and mean-field approximation
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.ORCID iD: 0000-0002-6608-0715
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2016 (English)In: Insurance, Mathematics & Economics, ISSN 0167-6687, E-ISSN 1873-5959, Vol. 69, 1-13 p.Article in journal (Refereed) PublishedText
Abstract [en]

We suggest a unified approach to claims reserving for life insurance policies with reserve-dependent payments driven by multi-state Markov chains. The associated prospective reserve is formulated as a recursive utility function using the framework of backward stochastic differential equations (BSDE). We show that the prospective reserve satisfies a nonlinear Thiele equation for Markovian BSDEs when the driver is a deterministic function of the reserve and the underlying Markov chain. Aggregation of prospective reserves for large and homogeneous insurance portfolios is considered through mean-field approximations. We show that the corresponding prospective reserve satisfies a BSDE of mean-field type and derive the associated nonlinear Thiele equation.

Place, publisher, year, edition, pages
Elsevier, 2016. Vol. 69, 1-13 p.
Keyword [en]
Backward stochastic differential equation, Life insurance, Markov process, Mean-field, Multistate models, Surrender value, Thiele's equation
National Category
Mathematics Economics and Business
Identifiers
URN: urn:nbn:se:kth:diva-186925DOI: 10.1016/j.insmatheco.2016.04.002ISI: 000380083300001ScopusID: 2-s2.0-84963953274OAI: oai:DiVA.org:kth-186925DiVA: diva2:929291
Note

QC 20160518

Available from: 2016-05-18 Created: 2016-05-16 Last updated: 2016-09-06Bibliographically approved

Open Access in DiVA

No full text

Other links

Publisher's full textScopus

Search in DiVA

By author/editor
Djehiche, BoualemLöfdahl, Björn
By organisation
Mathematical Statistics
In the same journal
Insurance, Mathematics & Economics
MathematicsEconomics and Business

Search outside of DiVA

GoogleGoogle Scholar
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 9 hits
ReferencesLink to record
Permanent link

Direct link