Backward stochastic differential equations in dynamics of life insurance solvency risk

Backward stochastic differential equations in dynamics of life insurance solvency risk

In this thesis we describe the dynamics of solvency level in life insurance contracts. We do this by representing the underlying sources of risk and the solvency level as the solution to a forward-backward stochastic differential equation system. We start by introducing Brownian motion, stochastic i...

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Bibliographic Details
Main Author: Hinkkanen, Onni
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:
backward stochastic differential equations
stochastic analysis
Stokastiikka ja todennäköisyysteoria
Stochastics and Probability
4041
stokastiset prosessit
vakuutusmatematiikka
henkivakuutus
matemaattiset mallit
stochastic processes
insurance mathematics
life insurance
mathematical models
Online Access: https://jyx.jyu.fi/handle/123456789/84222

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