Skip to main content Accessibility help
×
Home

Operations Stochastiques de Capitalisation

  • Pierre Devolder (a1)

Abstract

This paper presents a stochastic model of capitalization which takes into account the financial risk in the actuarial processes.

We first introduce a stochastic differential equation which allows us to define the capitalization and actualization 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 illustrate the model.

    • Send article to Kindle

      To send this article to your Kindle, first ensure no-reply@cambridge.org is added to your Approved Personal Document E-mail List under your Personal Document Settings on the Manage Your Content and Devices page of your Amazon account. Then enter the ‘name’ part of your Kindle email address below. Find out more about sending to your Kindle. Find out more about sending to your Kindle.

      Note you can select to send to either the @free.kindle.com or @kindle.com variations. ‘@free.kindle.com’ emails are free but can only be sent to your device when it is connected to wi-fi. ‘@kindle.com’ emails can be delivered even when you are not connected to wi-fi, but note that service fees apply.

      Find out more about the Kindle Personal Document Service.

      Operations Stochastiques de Capitalisation
      Available formats
      ×

      Send article to Dropbox

      To send this article to your Dropbox account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your <service> account. Find out more about sending content to Dropbox.

      Operations Stochastiques de Capitalisation
      Available formats
      ×

      Send article to Google Drive

      To send this article to your Google Drive account, please select one or more formats and confirm that you agree to abide by our usage policies. If this is the first time you use this feature, you will be asked to authorise Cambridge Core to connect with your <service> account. Find out more about sending content to Google Drive.

      Operations Stochastiques de Capitalisation
      Available formats
      ×

Copyright

Corresponding author

43, Boulevard Théo Lambert, B-1070 Bruxelles, Belgium

References

Hide All
De Vylder, F. et Jaumain, C. (1976) Exposé moderne de la théorie mathémalique des opérations viagères. Office des Assureurs de Belgique.
Ginman, I.I. et Skorohod, A. V. (1972) Stochastic differential equations. Springer Verlag.
Malliaris, A. G. et Brock, W. A. (1981) Stochastic methods in economics and Finance. North-Holland.
Pollard, J. H. (1971) On Fluctuating Interest Rates. Bulletin de l'Association Royale des Actuaires Beiges, No. 66
Saada, M. (1979) Traité pratique de mathématiques financières. Vuibert: Paris.
Schnieper, R. (1983) Risk Processes with Stochastic Discounting. Mitteilungen der Vereinigung schweizerischer Versicherungsmathematiker, 2.

Metrics

Full text views

Total number of HTML views: 0
Total number of PDF views: 0 *
Loading metrics...

Abstract views

Total abstract views: 0 *
Loading metrics...

* Views captured on Cambridge Core between <date>. This data will be updated every 24 hours.

Usage data cannot currently be displayed