Jim Daniel's LTAM Seminar Excerpts

Differential equations for fully-continuous reserves




Differential equations for fully-continuous reserves describes Thiele's differential equations for reserves for general fully-continuous insurance considering both benefits and expenses. It contains about 4.5 pages of text. Here is the table of contents:

  • 1.1 Introduction
  • 1.2 General fully-continuous insurances
    • 1.2.1 The alive-dead setting
    • 1.2.2 The multi-state setting
  • 1.3 The differential equations
    • 1.3.1 Thiele's differential equation in the alive-dead setting
    • 1.3.2 Thiele's differential equations in the multi-state setting
  • 1.4 Approximate numerical solutions
    • 1.4.1 Euler's forward method in the alive-dead setting
    • 1.4.2 Euler's methods in the multi-state setting

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