Operations Stochastiques de Capitalisation

Pierre Devolder

ASTIN Bulletin, 1986, vol. 16, issue S1, S5-S30

Abstract: This paper presents a stochastic model of capitalization which takes into account the financial risk in the actuarial processes. We first introduce a stochastic differential equation which allows us to define the capitalization and actualization processes. We use these concepts to present a new principle of premium calculation for the capitalization operations, based on the equality between backward reserve and conditional expectation of the forward reserve. A generalization of the classical Thiele equation in life insurance is also given. Numerical examples illustrate the model.

Date: 1986
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:astinb:v:16:y:1986:i:s1:p:s5-s30_01

Access Statistics for this article

More articles in ASTIN Bulletin from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().