An operator splitting harmonic differential quadrature approach to solve Young's model for life insurance risk

► The non-linear Young's model for life insurance risk is considered. ► No numerical method for the non-linear Young's model has been developed so far. ► We propose a very efficient numerical method to solve the non-linear Young's model. ► We empirically investigate the convergence of the non-linear model. ► The method is also applicable to several other models in actuarial mathematics.