On probability distributions of present values in life insurance

Insurance: Mathematics and Economics

Volumn 18, Issue 1, 1996, Pages 35-42

  Hesselager, Ole ^a   Norberg, Ragnar ^a  

^a UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Differential equations; Markov counting process; Multistate life insurance

Indexed keywords

EID: 0030139070     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/0167-6687(95)00026-7     Document Type: Article

References (4)

1. De Pril, N. (1989). The distribution of actuarial functions. Mitteil. Ver. Schweiz. Vers. Math., 89, 173-183.
2. Dhaene, J. (1990). Distributions in life insurance. ASTIN Bull. 20, 81-92.
3. Norberg, R. (1995a). Differential equations for higher order moments of present values in life insurance. Insurance: Mathematics and Economics 17, 171-180.
4. Norberg, R. (1995b). A time-continuous Markov chain interest model with applications to insurance. J. Applied Stochastic Models and Data Analysis 11, 245-256.