Nonlinear reserving in life insurance: Aggregation and mean-field approximation

Author:

Djehiche Boualem,Löfdahl Björn

Funder

Filip Lundberg

Eirs 50 Years foundations

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference15 articles.

1. Point Processes and Queues: Martingale Dynamics;Brémaud,1981

2. Mean-field backward stochastic differential equations and related partial differential equations;Buckdahn;Stochastic Process. Appl.,2007

3. Reserve-dependent benefits and costs in life and health insurance;Christiansen;Insurance Math. Econom.,2014

4. Solutions of backward stochastic differential equations on Markov chains;Cohen;Commun. Stoch. Anal.,2008

5. A general theory of finite state backward stochastic difference equations;Cohen;Stochastic Process. Appl.,2010

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