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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. |
