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Document Details :

Title: Opérations stochastiques de capitalisation
Author(s): DEVOLDER, Pierre
Journal: ASTIN Bulletin
Volume: 16    Issue: s   Date: April 1986   
Pages: 5-30
DOI: 10.2143/AST.16.3.2014990

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 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 illustrate the model.