The prospective reserve of a life insurance contract with modifications in a Non-Markovian setting

The prospective reserve of a life insurance contract with modifications in a Non-Markovian setting

In this thesis we inspect the prospective reserve of a life insurance contract. The objective is to generalize the concepts from the Markovian framework into the non-Markovian setting. A Markov process has independent increments which is not assumed for pure jump processes. The changes of the state...

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Bibliographic Details
Main Author: Simola, Tapani
Other Authors: Matemaattis-luonnontieteellinen tiedekunta, Faculty of Sciences, Matematiikan ja tilastotieteen laitos, Department of Mathematics and Statistics, Jyväskylän yliopisto, University of Jyväskylä
Format: Master's thesis
Language:eng
Published: 2022
Subjects:
jump process
prospective reserve
BSDE
martingale representation
ito isometry
explicit intensity
Stokastiikka ja todennäköisyysteoria
Stochastics and Probability
4041
matematiikka
henkivakuutus
vakuutussopimukset
vakuutusmatematiikka
vakuutus
prosessit
mathematics
life insurance
insurance contracts
insurance mathematics
insurance
processes
Online Access: https://jyx.jyu.fi/handle/123456789/83411

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