Opérations stochastiques de capitalisation
(1986) ASTIN — Location: Biarritz, France (6.October.1985)
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- Authors
- Abstract
- This paper presents a stochastic model of capitalization which takes mto account the financial risk in the actuarial processes. We first introduce a stochastic differential equation which allows us to define the capitalization and actuahzation 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 dlustrate the model.
- Affiliations
Louvain School of Management Louvain School of Management Louvain School of Management
Citations
Devolder, P. (1986). Opérations stochastiques de capitalisation. ASTIN, Biarritz, France. https://hdl.handle.net/2078.5/89998