کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5076355 1477206 2016 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonlinear reserving in life insurance: Aggregation and mean-field approximation
ترجمه فارسی عنوان
رزرو غیر خطی در بیمه عمر: تقسیم بندی و میانگین میدان
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Insurance: Mathematics and Economics - Volume 69, July 2016, Pages 1-13
نویسندگان
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